Stochastic symplectic partitioned Runge–Kutta methods for stochastic Hamiltonian systems with multiplicative noise
作者：
Highlights：
• A new class of SPRK methods and their order conditions are given.
• Symplectic conditions of the SPRK methods are obtained.
• Stochastic generating functions of the SSPRK methods are obtained.
• It is proved that the SSPRK methods can preserve the quadratic invariants.
• Some low-stage SSPRK methods are constructed.
摘要
•A new class of SPRK methods and their order conditions are given.•Symplectic conditions of the SPRK methods are obtained.•Stochastic generating functions of the SSPRK methods are obtained.•It is proved that the SSPRK methods can preserve the quadratic invariants.•Some low-stage SSPRK methods are constructed.
论文关键词：Stochastic Hamiltonian systems,Stochastic differential equations,Symplectic integrators,Stochastic generating functions,Stochastic partitioned Runge–Kutta methods
论文评审过程：Available online 8 January 2015.
论文官网地址：https://doi.org/10.1016/j.amc.2014.12.045
