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

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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Bibliographic Details
Main Authors: Qiang Ma, Yuanwei Song, Wei Xiao, Wendi Qin, Xiaohua Ding
Format: Article
Language:English
Published: SpringerOpen 2019-05-01
Series:Advances in Difference Equations
Subjects:
Second-order stochastic differential equations
Stochastic Hamiltonian systems
Stochastic Runge–Kutta–Nyström methods
Symplectic integrators
Online Access:http://link.springer.com/article/10.1186/s13662-019-2133-1

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http://link.springer.com/article/10.1186/s13662-019-2133-1

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