Please use this identifier to cite or link to this item:
http://elar.urfu.ru/handle/10995/111187
Title: | Symplectic Integration of Hamiltonian Systems with Additive Noise |
Authors: | Milstein, G. N. Repin, Yu. M. Tretyakov, M. V. |
Issue Date: | 2002 |
Publisher: | Society for Industrial & Applied Mathematics (SIAM) |
Citation: | Milstein G. N. Symplectic Integration of Hamiltonian Systems with Additive Noise / G. N. Milstein, Yu. M. Repin, M. V. Tretyakov // SIAM Journal on Numerical Analysis. — 2002. — Vol. 39. — Iss. 6. — P. 2066-2088. |
Abstract: | Hamiltonian systems with additive noise possess the property of preserving symplectic structure. Numerical methods with the same property are constructed for such systems. Special attention is paid to systems with separable Hamiltonians and to second-order differential equations with additive noise. Some numerical tests are presented. |
Keywords: | HAMILTONIAN SYSTEMS WITH ADDITIVE NOISE MEAN-SQUARE METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS SYMPLECTIC INTEGRATION |
URI: | http://elar.urfu.ru/handle/10995/111187 |
Access: | info:eu-repo/semantics/openAccess |
SCOPUS ID: | 0036556371 |
ISSN: | 0036-1429 |
Appears in Collections: | Научные публикации, проиндексированные в SCOPUS и WoS CC |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
2-s2.0-0036556371.pdf | 341,89 kB | Adobe PDF | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.