Symplectic Integration of Hamiltonian Systems with Additive Noise

Authors:
G. N. Milstein;Yu. M. Repin;M. V. Tretyakov
Affiliations:
-;-;-
Venue:
SIAM Journal on Numerical Analysis
Year:
2001

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Abstract

Hamiltonian systems with additive noise possess the property of preserving symplectic structure. Numerical methods with the same property are constructed for such systems. Special attention is paid to systems with separable Hamiltonians and to second-order differential equations with additive noise. Some numerical tests are presented.