Symplectic Integration of Hamiltonian Systems with Additive Noise

DOI10.1137/S0036142901387440MaRDI QIDQ4539406zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

additive noiseHamiltonian systemsmean-square methodsstochastic differential equationssymplectic integration

Mathematics Subject Classification ID

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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Cited in

(71)

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• Data-driven structure-preserving model reduction for stochastic Hamiltonian systems
• Structure-preserving methods for Marcus stochastic Hamiltonian systems with additive Lévy noise
• Structure-preserving stochastic conformal exponential integrator for linearly damped stochastic differential equations
• Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise
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• Projection methods for stochastic differential equations with conserved quantities
• Stochastic symplectic methods based on the Padé approximations for linear stochastic Hamiltonian systems
• Computing ergodic limits for Langevin equations

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