×

Symplectic integration of Hamiltonian systems with additive noise. (English) Zbl 1019.60056

The authors consider Hamiltonian systems with additive noise possessing the property of preserving symplectic structure. For such systems they construct numerical methods with the same property. Moreover they pay special attention to systems with separable Hamiltonians and to second-order differential equations with additive noise and present some numerical tests for the considered methods.

MSC:

60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
65C30 Numerical solutions to stochastic differential and integral equations
65P10 Numerical methods for Hamiltonian systems including symplectic integrators
PDF BibTeX XML Cite
Full Text: DOI