Liying Sun

David Cohen, Jianbo Cui, Jialin Hong et al.

This article presents explicit exponential integrators for stochastic Maxwell's equations driven by both multiplicative and additive noises. By utilizing the regularity estimate of the mild solution, we first prove that the strong order of the numerical approximation is $\frac 12$ for general multiplicative noise. Combing a proper decomposition with the stochastic Fubini's theorem, the strong order of the proposed scheme is shown to be $1$ for additive noise. Moreover, for linear stochastic Maxwell's equation with additive noise, the proposed time integrator is shown to preserve exactly the symplectic structure, the evolution of the energy as well as the evolution of the divergence in the sense of expectation. Several numerical experiments are presented in order to verify our theoretical findings.

Jialin Hong, Liying Sun, Xu Wang

In this paper, we consider the stochastic Langevin equation with additive noises, which possesses both conformal symplectic geometric structure and ergodicity. We propose a methodology of constructing high weak order conformal symplectic schemes by converting the equation into an equivalent autonomous stochastic Hamiltonian system and modifying the associated generating function. To illustrate this approach, we construct a specific second order numerical scheme, and prove that its symplectic form dissipates exponentially. Moreover, for the linear case, the proposed scheme is also shown to inherit the ergodicity of the original system, and the temporal average of the numerical solution is a proper approximation of the ergodic limit over long time. Numerical experiments are given to verify these theoretical results.

Jianbo Cui, Jialin Hong, Liying Sun

Approximating the invariant measure and the expectation of the functionals for parabolic stochastic partial differential equations (SPDEs) with non-globally Lipschitz coefficients is an active research area and is far from being well understood. In this article, we study such problem in terms of a full discretization based on the spectral Galerkin method and the temporal implicit Euler scheme. By deriving the a priori estimates and regularity estimates of the numerical solution via a variational approach and Malliavin calculus, we establish the sharp weak convergence rate of the full discretization. When the SPDE admits a unique $V$-uniformly ergodic invariant measure, we prove that the invariant measure can be approximated by the full discretization. The key ingredients lie on the time-independent weak convergence analysis and time-independent regularity estimates of the corresponding Kolmogorov equation. Finally, numerical experiments confirm the theoretical findings.

Liying Sun, Lijin Wang

In this article, we introduce a kind of numerical schemes, based on Pad$\acute{e}$ approximation, for two stochastic Hamiltonian systems which are treated separately. For the linear stochastic Hamiltonian systems, it is shown that the applied Pad$\acute e$ approximations $P_{(k,k)}$ give numerical solutions that inherit the symplecticity and the proposed numerical schemes based on $P_{(r,s)}$ are of mean-square order $\frac{r+s}{2}$ under appropriate conditions. In case of the special stochastic Hamiltonian systems with additive noises, the numerical method using two kinds of Pad$\acute e$ approximation $P_{(\hat r,\hat s)}$ and $P_{(\check r,\check s)}$ has mean-square order $\check r+\check s+1$ when $\hat r+\hat s=\check r+\check s+2$. Moreover, the numerical solution is symplectic if $\hat r=\hat s$.

Xinjie Dai, Xingyu Liu, Diancong Jin et al.

The generalized Langevin equation (GLE) constitutes a fundamental model for describing nonequilibrium dynamics with memory effects. To overcome the numerical challenges arising from superquadratically growing potentials and degenerate noise, we propose and analyze a structure-preserving splitting averaged vector field (AVF) method for a quasi-Markovian GLE. The core advantage of this method lies in its ability to simultaneously preserve the exponential integrability, Malliavin differentiability, and ergodicity of the underlying continuous system. Notably, by leveraging exponential integrability, Malliavin differentiability, and uniform non-degeneracy of the numerical solution, we obtain the existence and smoothness of its probability density function, which converges to that of the exact solution with first-order accuracy. Furthermore, by validating the Lyapunov condition and the minorization condition using a localized technique, we establish the geometric ergodicity of the numerical solution. Finally, numerical experiments are conducted to confirm the theoretical results.