Projection methods for stochastic differential equations with conserved quantities

doi:10.1007/s10543-016-0614-0

CORC > 数学与系统科学研究院 > 中国科学院数学与系统科学研究院 > 计算数学与科学工程计算研究所

	Projection methods for stochastic differential equations with conserved quantities
	Zhou, Weien 1; Zhang, Liying 2; Hong, Jialin3 ; Song, Songhe 1,4
刊名	BIT NUMERICAL MATHEMATICS
	2016-12-01
卷号	56 期号:4 页码:1497-1518
关键词	Stochastic differential equations Conserved quantities Projection methods Mean-square convergence
ISSN号	0006-3835
DOI	10.1007/s10543-016-0614-0
英文摘要	In this paper, we consider the numerical methods preserving single or multiple conserved quantities, and these methods are able to reach high order of strong convergence simultaneously based on some kinds of projection methods. The mean-square convergence orders of these methods under certain conditions are given, which can reach order 1.5 or even 2 according to the supporting methods embedded in the projection step. Finally, three numerical experiments are taken into account to show the superiority of the projection methods.
资助项目	National Natural Science Foundation of China[91130003]
WOS研究方向	Computer Science ; Mathematics
语种	英语
出版者	SPRINGER
WOS记录号	WOS:000388968500016
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/24322]
专题	计算数学与科学工程计算研究所
通讯作者	Zhou, Weien
作者单位	1.Natl Univ Def Technol, Coll Sci, Changsha 410073, Hunan, Peoples R China 2.China Univ Min & Technol, Sch Math Sci, Beijing 100083, Peoples R China 3.Chinese Acad Sci, Inst Computat Math & Sci Engn Comp, Beijing 100190, Peoples R China 4.Natl Univ Def Technol, State Key Lab High Performance Comp, Changsha 410073, Hunan, Peoples R China
推荐引用方式 GB/T 7714	Zhou, Weien,Zhang, Liying,Hong, Jialin,et al. Projection methods for stochastic differential equations with conserved quantities[J]. BIT NUMERICAL MATHEMATICS,2016,56(4):1497-1518.
APA	Zhou, Weien,Zhang, Liying,Hong, Jialin,&Song, Songhe.(2016).Projection methods for stochastic differential equations with conserved quantities.BIT NUMERICAL MATHEMATICS,56(4),1497-1518.
MLA	Zhou, Weien,et al."Projection methods for stochastic differential equations with conserved quantities".BIT NUMERICAL MATHEMATICS 56.4(2016):1497-1518.