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Stochastic multi-symplectic Runge–Kutta methods for stochastic Hamiltonian PDEs

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In this paper, we consider stochastic Runge-Kutta methods for stochastic Hamiltonian partial differential equations and present some sufficient conditions for multisymplecticity of stochastic Runge-Kutta methods of stochastic Hamiltonian partial differential… Click to show full abstract

In this paper, we consider stochastic Runge-Kutta methods for stochastic Hamiltonian partial differential equations and present some sufficient conditions for multisymplecticity of stochastic Runge-Kutta methods of stochastic Hamiltonian partial differential equations. Particularly, we apply these ideas to stochastic Maxwell equations with multiplicative noise, possessing the stochastic multi-symplectic conservation law and energy conservation law. Theoretical analysis shows that the methods can preserve both the discrete stochastic multi-symplectic conservation law and discrete energy conservation law almost surely.

Keywords: runge kutta; methods stochastic; kutta methods; multi symplectic; stochastic multi; stochastic hamiltonian

Journal Title: Applied Numerical Mathematics
Year Published: 2019

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