Academy of Mathematics and Systems Science, CAS
Colloquia & Seminars
| | Speaker: | David Cohen, Umea University
| | Inviter: | | Title:
| Drift-preserving numerical integrators for stochastic Hamiltonian systems | Time & Venue:
| 2019.09.11 17:20-18:05 N204 | Abstract:
| The subject of the presentation is the study of numerical discretisations for separable 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 very same property for all times. This is based on a joint work with Chuchu Chen (CAS), Raffaele D'Ambrosio (UNIVAQ), Annika Lang (Chalmers). | |
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