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Register a new userDrift-preserving numerical integrators for stochastic Hamiltonian systems
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Added by
David Cohen
Publication date
2019
fields
Informatics Engineering
and research's language is
English
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The paper deals with numerical discretizations of separable nonlinear Hamiltonian systems with additive noise. For such problems, the expected value of the total energy, along the exact solution, drifts linearly with time. We present and analyze a time integrator having the same property for all times. Furthermore, strong and weak convergence of the numerical scheme along with efficient multilevel Monte Carlo estimators are studied. Finally, extensive numerical experiments illustrate the performance of the proposed numerical scheme.
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