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Energy-preserving integrators for stochastic Poisson systems
Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
Inria Lille Nord-Europe.
2014 (English)In: Communications in Mathematical Sciences, ISSN 1539-6746, E-ISSN 1945-0796, Vol. 12, no 8, 1523-1539 p.Article in journal (Refereed) Published
Abstract [en]

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].

Place, publisher, year, edition, pages
2014. Vol. 12, no 8, 1523-1539 p.
Keyword [en]
stochastic Poisson systems, Stratonovich SDEs, energy-preserving numerical schemes, stochastic midpoint scheme, Casimir function
National Category
Computational Mathematics
Research subject
URN: urn:nbn:se:umu:diva-83691DOI: 10.4310/CMS.2014.v12.n8.a7OAI: diva2:675717
Available from: 2013-12-04 Created: 2013-12-04 Last updated: 2015-05-15Bibliographically approved

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ReferencesLink to record
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