TY - JOUR
T1 - Dynamics and Variational Integrators of Stochastic Hamiltonian Systems
AU - L. Wang, J. Hong, R. Scherer & F. Bai
JO - International Journal of Numerical Analysis and Modeling
VL - 4
SP - 586
EP - 602
PY - 2009
DA - 2009/06
SN - 6
DO - http://doi.org/
UR - https://global-sci.org/intro/article_detail/ijnam/785.html
KW - Hamilton's principle, stochastic Hamiltonian systems, symplectic methods, variational integrators.
AB - <p style="text-align: justify;">Stochastic action integral and Lagrange formalism of stochastic Hamiltonian systems are written through construing the stochastic Hamiltonian systems as nonconservative systems with white noise as the nonconservative &#39;force&#39;. Stochastic Hamilton&#39;s principle and its discrete version are derived. Based on these, a systematic approach of producing symplectic numerical methods for stochastic Hamiltonian systems, i.e., the stochastic variational integrators are established. Numerical tests show validity of this approach.</p>