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Drift-preserving numerical integrators for stochastic Hamiltonian systems
Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.ORCID iD: 0000-0001-6490-1957
(English)Manuscript (preprint) (Other academic)
Abstract [en]

The paper deals with numerical discretizations of separable nonlinear Hamiltonian systems with additive noise. For such problems, the expected value of the total energy, along the exact solution, drifts linearly with time. We present and analyze a time integrator having the same property for all times. Furthermore, strong and weak convergence of the numerical scheme along with efficient multilevel Monte Carlo estimators are studied. Finally, extensive numerical experiments illustrate the performance of the proposed numerical scheme.

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Computational Mathematics
Identifiers
URN: urn:nbn:se:umu:diva-167824OAI: oai:DiVA.org:umu-167824DiVA, id: diva2:1391559
Funder
Swedish Research Council, 20134562Swedish Research Council, 201804443The Swedish Foundation for International Cooperation in Research and Higher Education (STINT), CH20166729Swedish National Infrastructure for Computing (SNIC)Available from: 2020-02-05 Created: 2020-02-05 Last updated: 2020-02-05

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