Structure-preserving Runge-Kutta methods for stochastic Hamiltonian equations with additive noise

Author:

Burrage Pamela M.,Burrage Kevin

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics

Reference24 articles.

1. Brugnano, L., Iavernaro, F., Trigiante, D.: Analysis of Hamiltonian Boundary Value Methods (HBVMs): a class of energy-preserving Runge-Kutta methods for the numerical solution of polynomial Hamiltonian dynamical systems, submitted. arXiv: 09095659 (2009)

2. Brugnano, L., Iavernaro, F., Trigiante, D.: Hamiltonian boundary value methods (energy preserving discrete line integral methods). J. Numer. Anal. Industr. Appl. Math. 5(1–2), 17–37 (2010). arXiv: 09103621

3. Brugnano, L., Iavernaro, F., Trigiante, D.: The lack of continuity and the role of infinite and infinitesimal in numerical methods for ODEs: the case of symplecticity. Appl. Math. Comput. 218, 8053–8063 (2012)

4. Brugnano, L., Iavernaro, F., Trigiante, D.: A simple framework for the derivation and analysis of effective classes of one-step methods for ODEs. Appl. Math. Comput. 218, 8475–8485 (2012)

5. Brugnano, L., Iavernaro, F., Trigiante, D.: A note on the efficient implementation of Hamiltonian BVMs. J. Comput. Appl. Math. 236, 375–383 (2011)

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