Structure-preserving stochastic Runge–Kutta–Nyström methods for nonlinear second-order stochastic differential equations with multiplicative noise

Abstract A class of stochastic Runge–Kutta–Nyström (SRKN) methods for the strong approximation of second-order stochastic differential equations (SDEs) are proposed. The conditions for strong convergence global order 1.0 are given. The symplectic conditions for a given SRKN method to solve second-or...

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Main Authors: Qiang Ma, Yuanwei Song, Wei Xiao, Wendi Qin, Xiaohua Ding
Formato: Artigo
Idioma:Inglês
Publicado em: SpringerOpen 2019-05-01
Colecção:Advances in Difference Equations
Assuntos:
Second-order stochastic differential equations
Stochastic Hamiltonian systems
Stochastic Runge–Kutta–Nyström methods
Symplectic integrators
Acesso em linha:http://link.springer.com/article/10.1186/s13662-019-2133-1
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