Year: 2019
East Asian Journal on Applied Mathematics, Vol. 9 (2019), Iss. 3 : pp. 465–484
Abstract
A family of explicit parametric stochastic Runge-Kutta methods for stochastic Poisson systems is developed. The methods are based on perturbed collocation methods with truncated random variables and are energy-preserving. Under certain conditions, the truncation does not change the convergence order. More exactly, the methods retain the mean-square convergence order of the original stochastic Runge-Kutta method. Numerical examples show the efficiency of the methods constructed.
You do not have full access to this article.
Already a Subscriber? Sign in as an individual or via your institution
Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/eajam.290518.310718
East Asian Journal on Applied Mathematics, Vol. 9 (2019), Iss. 3 : pp. 465–484
Published online: 2019-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 20
Keywords: Stochastic Poisson systems stochastic Runge-Kutta methods energy-preserving mean-square convergence.