Year: 2009
International Journal of Numerical Analysis and Modeling, Vol. 6 (2009), Iss. 4 : pp. 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.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/2009-IJNAM-785
International Journal of Numerical Analysis and Modeling, Vol. 6 (2009), Iss. 4 : pp. 586–602
Published online: 2009-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 17
Keywords: Hamilton's principle stochastic Hamiltonian systems symplectic methods variational integrators.