Explicit pseudo-symplectic methods based on generating functions for stochastic Hamiltonian systems
Author
Faculty Advisor
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
Notes
Item Type
Article
Language
English
Rights
All Rights Reserved