Numerical Methods for Stochastic Systems Preserving Symplectic Structure
نویسندگان
چکیده
منابع مشابه
Numerical Methods for Stochastic Systems Preserving Symplectic Structure
Stochastic Hamiltonian systems with multiplicative noise, phase flows of which preserve symplectic structure, are considered. To construct symplectic methods for such systems, sufficiently general fully implicit schemes, i.e., schemes with implicitness both in deterministic and stochastic terms, are needed. A new class of fully implicit methods for stochastic systems is proposed. Increments of ...
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ژورنال
عنوان ژورنال: SIAM Journal on Numerical Analysis
سال: 2002
ISSN: 0036-1429,1095-7170
DOI: 10.1137/s0036142901395588