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

Anton, Cristina

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

Author

Anton, Cristina

Date

2020

Keywords

Pseudo-symplectic method, Stochastic Hamiltonian systems, Symplectic integration

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

Anton, C. (2020). Explicit pseudo-symplectic methods based on generating functions for stochastic Hamiltonian systems. Journal of Computational and Applied Mathematics, 373. https://doi.org/10.1016/j.cam.2019.112433

DOI

https://doi.org/10.1016/j.cam.2019.112433

Item Type

Article

Language

English

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