Order conditions for stochastic Runge–Kutta methods preserving quadratic invariants of Stratonovich SDEs-Reference-Cited by-同舟云学术

Order conditions for stochastic Runge–Kutta methods preserving quadratic invariants of Stratonovich SDEs

Published:2017-05 Issue: Volume:316 Page:40-46
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Anmarkrud Sverre,Kværnø Anne^ORCID

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference17 articles.

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2. Symplectic conditions and stochastic generating functions of stochastic Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise;Ma;Appl. Math. Comput.,2012

3. Preservation of quadratic invariants of stochastic differential equations via Runge-Kutta methods;Hong;Appl. Numer. Math.,2015

4. Energy-preserving integrators for stochastic Poisson systems;Cohen;Commun. Math. Sci.,2014

5. Structure-preserving Runge-Kutta methods for stochastic Hamiltonian equations with additive noise;Burrage;Numer. Algorithms,2014

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