Explicit pseudo-symplectic methods based on generating functions for stochastic Hamiltonian systems

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:373

Article; Proceedings Paper

Anton, Cristina¹ 

[1] Grant MacEwan Univ, Dept Math & Stat, Edmonton, AB T5J 4S2, Canada

关键词: Stochastic Hamiltonian systems;    Symplectic integration;    Pseudo-symplectic method;   

DOI  :  10.1016/j.cam.2019.112433

来源: Elsevier

【 摘 要 】

We propose a systematic approach to construct explicit pseudo-symplectic schemes for stochastic Hamiltonian systems. This method is based on generating functions. so it is an extension of the techniques used for constructing high-order symplectic schemes for stochastic Hamiltonian systems. We study the order of convergence of the proposed explicit pseudo-symplectic schemes. The excellent long term performance of the pseudo-symplectic schemes is verified numerically. (C) 2019 Elsevier B.V. All rights reserved.

【 授权许可】

Free