Symplectic integrators to stochastic Hamiltonian dynamical systems derived from composition methods

DOI10.1155/2010/384937zbMath1204.65009OpenAlexW2079191395WikidataQ58653050 ScholiaQ58653050MaRDI QIDQ1958826

Tetsuya Misawa

Publication date: 30 September 2010

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/228590

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Lie algebras of vector fields and related (super) algebras (17B66) Generation, random and stochastic difference and differential equations (37H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (10)

Long-Term Analysis of Stochastic Hamiltonian Systems Under Time Discretizations ⋮ Stochastic discrete Hamiltonian variational integrators ⋮ Stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise ⋮ Splitting integrators for stochastic Lie–Poisson systems ⋮ On the conservative character of discretizations to Itô-Hamiltonian systems with small noise ⋮ Symplectic numerical integration for Hamiltonian stochastic differential equations with multiplicative Lévy noise in the sense of Marcus ⋮ Arbitrary high-order EQUIP methods for stochastic canonical Hamiltonian systems ⋮ High order numerical integrators for single integrand Stratonovich SDEs ⋮ Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise ⋮ Projection methods for stochastic differential equations with conserved quantities

Cites Work

• High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula
• Simulation of stochastic differential equations
• Conserved quantities and symmetries related to stochastic dynamical systems
• A Lie Algebraic Approach to Numerical Integration of Stochastic Differential Equations
• Splitting methods
• Stochastic Lie Group Integrators
• Stochastic variational integrators
• Numerical Methods for Stochastic Systems Preserving Symplectic Structure
• Geometric Numerical Integration
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