期刊论文详细信息
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS 卷:373
Explicit pseudo-symplectic methods based on generating functions for stochastic Hamiltonian systems
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
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【 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.

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