Year: 2019
Author: Liying Zhang, Weien Zhou, Lihai Ji
Journal of Computational Mathematics, Vol. 37 (2019), Iss. 1 : pp. 48–60
Abstract
In this paper, we couple the parareal algorithm with projection methods of the trajectory on a specific manifold, defined by the preservation of some conserved quantities of stochastic differential equations. First, projection methods are introduced as the coarse and fine propagators. Second, we apply the projection methods for systems with conserved quantities in the correction step of original parareal algorithm. Finally, three numerical experiments are performed by different kinds of algorithms to show the property of convergence in iteration, and preservation in conserved quantities of model systems.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/jcm.1708-m2017-0089
Journal of Computational Mathematics, Vol. 37 (2019), Iss. 1 : pp. 48–60
Published online: 2019-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 13
Keywords: Stochastic differential equation Parareal algorithm Conserved quantity Structure-preserving method.
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