Structure-Preserving Numerical Methods for Stochastic Poisson Systems

DOI10.4208/CICP.OA-2019-0084MaRDI QIDQ5163205zbMATH OpenOpenAlexFDO

Authors Jialin Hong, Jialin Ruan, Liying Sun, Lijin Wang

Publication date 3 November 2021

Published in Communications in Computational Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2006.03880

zbMATH Keywords

generating functionsPoisson structuresymplectic integratorsCasimir functionsstochastic Poisson systemsPoisson integratorsstochastic rigid body system

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical integration (65D30) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Laplace operator, Helmholtz equation (reduced wave equation), Poisson equation (35J05) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical methods for Hamiltonian systems including symplectic integrators (65P10)

Abstract: We propose a class of numerical integration methods for stochastic Poisson systems (SPSs) of arbitrary dimensions. Based on the Darboux-Lie theorem, we transform the SPSs to their canonical form, the generalized stochastic Hamiltonian systems (SHSs), via canonical coordinate transformations found by solving certain PDEs defined by the Poisson brackets of the SPSs. An a-generating function approach with alphain [0,1] is then used to create symplectic discretizations of the SHSs, which are then transformed back by the inverse coordinate transformation to numerical integrators for the SPSs. These integrators are proved to preserve both the Poisson structure and the Casimir functions of the SPSs. Applications to a three-dimensional stochastic rigid body system and a three-dimensional stochastic Lotka-Volterra system show efficiency of the proposed methods.

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Cited in

(10)

• Lie-Poisson Numerical Method for a Class of Stochastic Lie-Poisson Systems
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• Structure-preserving numerical methods for a class of stochastic Poisson systems
• A superscalar simulation employing Poisson distributed stalls
• Splitting integrators for stochastic Lie–Poisson systems

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