Year: 2014
Author: C. A. Anton, Y. S. Wong, J. Deng
International Journal of Numerical Analysis and Modeling, Vol. 11 (2014), Iss. 3 : pp. 427–451
Abstract
We present high-order symplectic schemes for stochastic Hamiltonian systems preserving Hamiltonian functions. The approach is based on the generating function method, and we prove that the coefficients of the generating function are invariant under permutations for this class of systems. As a consequence, the proposed high-order symplectic weak and strong schemes are computationally efficient because they require less stochastic multiple integrals than the Taylor expansion schemes with the same order.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/2014-IJNAM-536
International Journal of Numerical Analysis and Modeling, Vol. 11 (2014), Iss. 3 : pp. 427–451
Published online: 2014-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 25
Keywords: Stochastic Hamiltonian systems generating function symplectic method high-order schemes.