Symplectic Integration of Hamiltonian Systems with Additive Noise
نویسندگان
چکیده
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.
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عنوان ژورنال:
- SIAM J. Numerical Analysis
دوره 39 شماره
صفحات -
تاریخ انتشار 2002