Explicit pseudo-symplectic methods for stochastic Hamiltonian systems

Xinyan Niu; Jianbo Cui; Jialin Hong; Zhihui Liu

doi:10.1007/s10543-017-0668-7

Explicit pseudo-symplectic methods for stochastic Hamiltonian systems

Xinyan Niu, Jianbo Cui, Jialin Hong, Zhihui Liu

Research output: Journal article publication › Journal article › Academic research › peer-review

7 Citations (Scopus)

Abstract

We construct stochastic pseudo-symplectic methods and analyze their pseudo-symplectic orders for stochastic Hamiltonian systems with additive noises in this paper. All of these methods are explicit so that the numerical implementations become much easier than implicit methods. Through the numerical experiments, we find that these methods have desired properties in accuracy and stability as well as the preservation of the symplectic structure of the systems.

Original language	English
Pages (from-to)	163-178
Number of pages	16
Journal	BIT Numerical Mathematics
Volume	58
Issue number	1
DOIs	https://doi.org/10.1007/s10543-017-0668-7
Publication status	Published - 1 Mar 2018
Externally published	Yes

Keywords

Explicit Runge–Kutta method
Pseudo-symplectic method
Stochastic Hamiltonian system

ASJC Scopus subject areas

Software
Computer Networks and Communications
Computational Mathematics
Applied Mathematics

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10.1007/s10543-017-0668-7

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abstract = "We construct stochastic pseudo-symplectic methods and analyze their pseudo-symplectic orders for stochastic Hamiltonian systems with additive noises in this paper. All of these methods are explicit so that the numerical implementations become much easier than implicit methods. Through the numerical experiments, we find that these methods have desired properties in accuracy and stability as well as the preservation of the symplectic structure of the systems.",

keywords = "Explicit Runge–Kutta method, Pseudo-symplectic method, Stochastic Hamiltonian system",

author = "Xinyan Niu and Jianbo Cui and Jialin Hong and Zhihui Liu",

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AU - Cui, Jianbo

AU - Hong, Jialin

AU - Liu, Zhihui

N1 - Funding Information: Authors are supported by National Natural Science Foundation of China (No. 91630312, No. 91530118 and No. 11290142). Publisher Copyright: © 2017, Springer Science+Business Media B.V.

PY - 2018/3/1

Y1 - 2018/3/1

N2 - We construct stochastic pseudo-symplectic methods and analyze their pseudo-symplectic orders for stochastic Hamiltonian systems with additive noises in this paper. All of these methods are explicit so that the numerical implementations become much easier than implicit methods. Through the numerical experiments, we find that these methods have desired properties in accuracy and stability as well as the preservation of the symplectic structure of the systems.

AB - We construct stochastic pseudo-symplectic methods and analyze their pseudo-symplectic orders for stochastic Hamiltonian systems with additive noises in this paper. All of these methods are explicit so that the numerical implementations become much easier than implicit methods. Through the numerical experiments, we find that these methods have desired properties in accuracy and stability as well as the preservation of the symplectic structure of the systems.

KW - Explicit Runge–Kutta method

KW - Pseudo-symplectic method

KW - Stochastic Hamiltonian system

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JO - BIT Numerical Mathematics

JF - BIT Numerical Mathematics

IS - 1

ER -

Explicit pseudo-symplectic methods for stochastic Hamiltonian systems

Abstract

Keywords

ASJC Scopus subject areas

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