full
search.png

Search

close.png

Cancel

arrow
Volume 6, Issue 4
Dynamics and Variational Integrators of Stochastic Hamiltonian Systems

L. Wang, J. Hong, R. Scherer & F. Bai

Int. J. Numer. Anal. Mod., 6 (2009), pp. 586-602.

Published online: 2009-06

Preview Purchase PDF 1716 22383

Cited by

google scholar semantic scholar
Export citation
  • Abstract

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 'force'. Stochastic Hamilton'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.

  • Keywords

Hamilton's principle, stochastic Hamiltonian systems, symplectic methods, variational integrators.

  • AMS Subject Headings

65H10, 65C30, 65P10

  • Copyright

COPYRIGHT: © Global Science Press

  • Email address
  • BibTex
  • RIS
  • TXT
@Article{IJNAM-6-586, author = {L. Wang, J. Hong, R. Scherer and F. Bai}, title = {Dynamics and Variational Integrators of Stochastic Hamiltonian Systems}, journal = {International Journal of Numerical Analysis and Modeling}, year = {2009}, volume = {6}, number = {4}, pages = {586--602}, abstract = {

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 'force'. Stochastic Hamilton'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.

}, issn = {2617-8710}, doi = {https://doi.org/}, url = {http://global-sci.org/intro/article_detail/ijnam/785.html} }
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 -

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 'force'. Stochastic Hamilton'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.

L. Wang, J. Hong, R. Scherer and F. Bai. (2009). Dynamics and Variational Integrators of Stochastic Hamiltonian Systems. International Journal of Numerical Analysis and Modeling. 6 (4). 586-602. doi:
Copy to clipboard
BibteX RIS TXT
The citation has been copied to your clipboard