Symplectic integrators to stochastic Hamiltonian dynamical systems derived from composition methods (Q1958826): Difference between revisions

Summary: ``Symplectic'' schemes for stochastic Hamiltonian dynamical systems are formulated through ``composition methods (or operator splitting methods)'' proposed by \textit{T. Misawa} [SIAM J. Sci. Comput. 23, No. 3, 866--890 (2001; Zbl 1004.65010)]. In the proposed methods, a symplectic map, which is given by the solution of a stochastic Hamiltonian system, is approximated by composition of the stochastic flows derived from simpler Hamiltonian vector fields. The global error orders of the numerical schemes derived from the stochastic composition methods are provided. To examine the superiority of the new schemes, some illustrative numerical simulations on the basis of the proposed schemes are carried out for a stochastic harmonic oscillator system.