Energy-preserving integrators for stochastic Poisson systems

• A new class of energy-preserving numerical schemes for stochastic Hamiltonian systems with non-canonical structure matrix (in the Stratonovich sense) is proposed. These numerical integrators are of mean-square order one and also preserve quadratic Casimir functions. In the deterministic setting, our schemes reduce to methods proposed in [E. Hairer, JNAIAM. J. Numer. Anal. Ind. Appl. Math., 5(1-2), 73–84, 2011] and [D. Cohen, and E. Hairer, BIT, 51(1), 91–101, 2011].

Ämnesord

NATURVETENSKAP  -- Matematik -- Beräkningsmatematik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Computational Mathematics (hsv//eng)

NATURVETENSKAP  -- Matematik (hsv//swe)

NATURAL SCIENCES  -- Mathematics (hsv//eng)

Nyckelord

stochastic Poisson systems

Stratonovich SDEs

energy-preserving numerical schemes

stochastic midpoint scheme

Casimir function

Mathematics

matematik

Publikations- och innehållstyp

ref (ämneskategori)

art (ämneskategori)