数学
应用数学
离散化
数学优化
投影(关系代数)
趋同(经济学)
非线性系统
数学分析
微分方程
作者
Xiuyan Li,Chiping Zhang,Qiang Ma,Xiaohua Ding
标识
DOI:10.1080/00207160.2017.1408803
摘要
ABSTRACTNumerical methods preserving a conserved quantity for stochastic differential equations are considered. A class of discrete gradient methods based on the skew-gradient form is constructed, and the sufficient condition of convergence order 1 in the mean-square sense is given. Then a class of linear projection methods is constructed. The relationship of the two classes of methods for preserving a conserved quantity is proved, which is, the constructed linear projection methods can be considered as a subset of the constructed discrete gradient methods. Numerical experiments verify our theory and show the efficiency of proposed numerical methods.
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