Symplectic integration of hamiltonian systems with additive noise

SIAM Journal on Numerical Analysis

Volumn 39, Issue 6, 2002, Pages 2066-2088

  Milstein, G N ^a,b   Repin, Yu M ^b   Tretyakov, M V ^c,d  

^a WEIERSTRASS INSTITUTE FOR APPLIED ANALYSIS AND STOCHASTICS   (Germany)

^b URAL FEDERAL UNIVERSITY   (Russian Federation)

^c INSTITUTE OF MATHEMATICS AND MECHANICS   (Russian Federation)

^d SWANSEA UNIVERSITY   (United Kingdom)

Author keywords

Hamiltonian systems with additive noise; Mean square methods for stochastic differential equations; Symplectic integration

Indexed keywords

EID: 0036556371     PISSN: 00361429     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0036142901387440     Document Type: Article

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