Pseudo-symplectic methods for stochastic Hamiltonian systems

Author
Anton, Cristina
Faculty Advisor
Date
2018
Keywords
Abstract (summary)
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.
Publication Information
C. Anton, Pseudo-symplectic methods for stochastic Hamiltonian systems, Proceedings of NASCA 2018, Kalamata, Greece.
DOI
Notes
Item Type
Presentation
Language
English
Rights
All Rights Reserved