Symplectic integrators to stochastic Hamiltonian dynamical systems derived from composition methods
Lie algebras of vector fields and related (super) algebras (17B66) Generation, random and stochastic difference and differential equations (37H10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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.
- High-order symplectic schemes for stochastic Hamiltonian systems
- Numerical Methods for Stochastic Systems Preserving Symplectic Structure
- Weak symplectic schemes for stochastic Hamiltonian equations
- Symplectic schemes for stochastic Hamiltonian systems preserving Hamiltonian functions
- Symplectic numerical schemes for stochastic systems preserving Hamiltonian functions
- A Lie algebraic approach to numerical integration of stochastic differential equations
- Conserved quantities and symmetries related to stochastic dynamical systems
- Geometric Numerical Integration
- High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula
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- Numerical Methods for Stochastic Systems Preserving Symplectic Structure
- Simulation of stochastic differential equations
- Splitting methods
- Stochastic Lie Group Integrators
- Stochastic variational integrators
- Stochastic discrete Hamiltonian variational integrators
- High order numerical integrators for single integrand Stratonovich SDEs
- Arbitrary high-order EQUIP methods for stochastic canonical Hamiltonian systems
- Weak symplectic schemes for stochastic Hamiltonian equations
- On the conservative character of discretizations to Itô-Hamiltonian systems with small noise
- On global error of symplectic schemes for stochastic Hamiltonian systems
- Stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise
- Asymptotically-preserving large deviations principles by stochastic symplectic methods for a linear stochastic oscillator
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- Long-Term Analysis of Stochastic Hamiltonian Systems Under Time Discretizations
- Splitting integrators for stochastic Lie–Poisson systems
- Symplectic numerical integration for Hamiltonian stochastic differential equations with multiplicative Lévy noise in the sense of Marcus
- A novel way constructing symplectic stochastic partitioned Runge-Kutta methods for stochastic Hamiltonian systems
- Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise
- Numerical integrations of stochastic contact Hamiltonian systems via stochastic contact Hamilton-Jacobi equation
- Projection methods for stochastic differential equations with conserved quantities
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