Parallel and sequential methods for ordinary differential equations
Parallel and sequential methods for ordinary differential equations
Journal of Computational Physics
Numerical simulation of a linear stochastic oscillator with additive noise
Applied Numerical Mathematics
Numerical Methods for Second-Order Stochastic Differential Equations
SIAM Journal on Scientific Computing
SIAM Journal on Numerical Analysis
A note on the efficient implementation of Hamiltonian BVMs
Journal of Computational and Applied Mathematics
Low rank Runge-Kutta methods, symplecticity and stochastic Hamiltonian problems with additive noise
Journal of Computational and Applied Mathematics
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There has been considerable recent work on the development of energy conserving one-step methods that are not symplectic. Here we extend these ideas to stochastic Hamiltonian problems with additive noise and show that there are classes of Runge-Kutta methods that are very effective in preserving the expectation of the Hamiltonian, but care has to be taken in how the Wiener increments are sampled at each timestep. Some numerical simulations illustrate the performance of these methods.