Symplectic Integration of Hamiltonian Systems with Additive Noise
- 1 January 2002
- journal article
- research article
- Published by Society for Industrial & Applied Mathematics (SIAM) in SIAM Journal on Numerical Analysis
- Vol. 39 (6), 2066-2088
- https://doi.org/10.1137/s0036142901387440
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.Keywords
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