Numerical Simulations of Stochastic Differential Equations with Multiple Conserved Quantities by Conservative Methods

Abstract

The deterministic discrete gradient method for stochastic differential equations is extended to equations with multiple conserved quantities. The equations with multiple conserved quantities in the Stratonovich sense are written in the skew-gradient form, which is used in the construction of the stochastic discrete gradient method. It is shown that the stochastic discrete gradient method has the mean-square convergence order one and preserves all conserved quantities. Besides, for a given skew-gradient form, the stochastic discrete gradient method is equivalent to the stochastic projection method. Numerical examples confirm the theoretical results and show the effectiveness of the method.