@Article{EAJAM-12-1,
author = {Zhenyu, Wang and Qiang, Ma and Xiaohua, Ding},
title = {Numerical Simulations of Stochastic Differential Equations with Multiple Conserved Quantities by Conservative Methods},
journal = {East Asian Journal on Applied Mathematics},
year = {2022},
volume = {12},
number = {1},
pages = {53--71},
abstract = {<p style="text-align: justify;">The deterministic discrete gradient method for stochastic differential equations is extended to equations with multiple conserved quantities. The equations with
multiple conserved quantities in the Stratonovich sense are written in the skew-gradient
form, which is used in the construction of the stochastic discrete gradient method. It is
shown that the stochastic discrete gradient method has the mean-square convergence
order one and preserves all conserved quantities. Besides, for a given skew-gradient
form, the stochastic discrete gradient method is equivalent to the stochastic projection
method. Numerical examples confirm the theoretical results and show the effectiveness
of the method.</p>},
issn = {2079-7370},
doi = {https://doi.org/10.4208/eajam.080321.090721},
url = {https://global-sci.com/article/82453/numerical-simulations-of-stochastic-differential-equations-with-multiple-conserved-quantities-by-conservative-methods}
}