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http://elar.urfu.ru/handle/10995/111188
Полная запись метаданных
Поле DC | Значение | Язык |
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dc.contributor.author | Milstein, G. N. | en |
dc.contributor.author | Repin, Yu. M. | en |
dc.contributor.author | Tretyakov, M. V. | en |
dc.date.accessioned | 2022-05-12T08:14:08Z | - |
dc.date.available | 2022-05-12T08:14:08Z | - |
dc.date.issued | 2002 | - |
dc.identifier.citation | Milstein G. N. Numerical Methods for Stochastic Systems Preserving Symplectic Structure / G. N. Milstein, Yu. M. Repin, M. V. Tretyakov // SIAM Journal on Numerical Analysis. — 2002. — Vol. 40. — Iss. 4. — P. 1583-1604. | en |
dc.identifier.issn | 0036-1429 | - |
dc.identifier.other | All Open Access, Green | 3 |
dc.identifier.uri | http://elar.urfu.ru/handle/10995/111188 | - |
dc.description.abstract | Stochastic Hamiltonian systems with multiplicative noise, phase flows of which preserve symplectic structure, are considered. To construct symplectic methods for such systems, sufficiently general fully implicit schemes, i.e., schemes with implicitness both in deterministic and stochastic terms, are needed. A new class of fully implicit methods for stochastic systems is proposed. Increments of Wiener processes in these fully implicit schemes are substituted by some truncated random variables. A number of symplectic integrators is constructed. Special attention is paid to systems with separable Hamiltonians. Some results of numerical experiments are presented. They demonstrate superiority of the proposed symplectic methods over very long times in comparison with nonsymplectic ones. | en |
dc.format.mimetype | application/pdf | en |
dc.language.iso | en | en |
dc.publisher | Society for Industrial & Applied Mathematics (SIAM) | en |
dc.rights | info:eu-repo/semantics/openAccess | en |
dc.source | SIAM J Numer Anal | 2 |
dc.source | SIAM Journal on Numerical Analysis | en |
dc.subject | IMPLICIT METHODS | en |
dc.subject | MEAN-SQUARE CONVERGENCE | en |
dc.subject | STOCHASTIC HAMILTONIAN SYSTEMS | en |
dc.subject | SYMPLECTIC INTEGRATION | en |
dc.subject | CONVERGENCE OF NUMERICAL METHODS | en |
dc.subject | DIFFERENTIAL EQUATIONS | en |
dc.subject | FINITE ELEMENT METHOD | en |
dc.subject | HAMILTONIANS | en |
dc.subject | MEAN-SQUARE CONVERGENCE | en |
dc.subject | RANDOM PROCESSES | en |
dc.title | Numerical Methods for Stochastic Systems Preserving Symplectic Structure | en |
dc.type | Article | en |
dc.type | info:eu-repo/semantics/article | en |
dc.type | info:eu-repo/semantics/submittedVersion | en |
dc.identifier.scopus | 0141869053 | - |
local.contributor.employee | Milstein, G.N., Weierstra-Inst. Angew. Anal./S., Mohrenstr. 39, D-10117 Berlin, Germany, Department of Mathematics, Ural State University, Lenin Str. 51, 620083 Ekaterinburg, Russian Federation; Repin, Yu.M., Department of Mathematics, Ural State University, Lenin Str. 51, 620083 Ekaterinburg, Russian Federation; Tretyakov, M.V., Department of Mathematics, University of Wales Swansea, Swansea SA2 8PP, United Kingdom, Department of Mathematics, University of Leicester, Leicester LE1 7RH, United Kingdom | en |
local.description.firstpage | 1583 | - |
local.description.lastpage | 1604 | - |
local.issue | 4 | - |
local.volume | 40 | - |
local.contributor.department | Weierstra-Inst. Angew. Anal./S., Mohrenstr. 39, D-10117 Berlin, Germany; Department of Mathematics, Ural State University, Lenin Str. 51, 620083 Ekaterinburg, Russian Federation; Department of Mathematics, University of Wales Swansea, Swansea SA2 8PP, United Kingdom; Department of Mathematics, University of Leicester, Leicester LE1 7RH, United Kingdom | en |
local.identifier.pure | 43027915 | - |
local.identifier.eid | 2-s2.0-0141869053 | - |
Располагается в коллекциях: | Научные публикации ученых УрФУ, проиндексированные в SCOPUS и WoS CC |
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Файл | Описание | Размер | Формат | |
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2-s2.0-0141869053.pdf | 401,21 kB | Adobe PDF | Просмотреть/Открыть |
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