Abstract
We construct stochastic pseudo-symplectic methods and analyze their pseudo-symplectic orders for stochastic Hamiltonian systems with additive noises in this paper. All of these methods are explicit so that the numerical implementations become much easier than implicit methods. Through the numerical experiments, we find that these methods have desired properties in accuracy and stability as well as the preservation of the symplectic structure of the systems.
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Communicated by Antonella Zanna Munthe-Kaas.
Authors are supported by National Natural Science Foundation of China (No. 91630312, No. 91530118 and No. 11290142).
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Niu, X., Cui, J., Hong, J. et al. Explicit pseudo-symplectic methods for stochastic Hamiltonian systems. Bit Numer Math 58, 163–178 (2018). https://doi.org/10.1007/s10543-017-0668-7
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DOI: https://doi.org/10.1007/s10543-017-0668-7