Symplectic Integrators to Stochastic Hamiltonian Dynamical Systems Derived from Composition Methods

Tetsuya Misawa

Mathematical Problems in Engineering, 2010, vol. 2010, 1-12

Abstract:

“Symplectic†schemes for stochastic Hamiltonian dynamical systems are formulated through “composition methods (or operator splitting methods)†proposed by Misawa (2001). In the proposed methods, a symplectic map, which is given by the solution of a stochastic Hamiltonian system, is approximated by composition of the stochastic flows derived from simpler Hamiltonian vector fields. The global error orders of the numerical schemes derived from the stochastic composition methods are provided. To examine the superiority of the new schemes, some illustrative numerical simulations on the basis of the proposed schemes are carried out for a stochastic harmonic oscillator system.

Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://downloads.hindawi.com/journals/MPE/2010/384937.pdf (application/pdf)
http://downloads.hindawi.com/journals/MPE/2010/384937.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:384937

DOI: 10.1155/2010/384937

Access Statistics for this article

More articles in Mathematical Problems in Engineering from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().