Academy of Mathematics and Systems Science, CAS Colloquia & Seminars
Speaker:
Assistant Professor Li Xiuyan, Shandong University
Inviter:
唐贻发
Title:
Discrete gradient methods and linear projection methods for preserving a conserved quantity of stochastic differential equations
Time & Venue:
2017.10.29 9:00-10:00 N702
Abstract:
Numerical 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 preservinga conserved quantity is proved, whichis, 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.