Symplectic Integration of Hamiltonian Systems with Additive Noise
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Publication:4539406
DOI10.1137/S0036142901387440zbMath1019.60056OpenAlexW2078916875MaRDI QIDQ4539406
Yu. M. Repin, M. V. Tretyakov, Grigori N. Milstein
Publication date: 8 July 2002
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0036142901387440
stochastic differential equationsHamiltonian systemssymplectic integrationadditive noisemean-square methods
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for Hamiltonian systems including symplectic integrators (65P10)
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