A New Symplectic Method for a Linear Stochastic Oscillator via Stochastic Variational Integrators

作者：Zhang Jingjing^*; Wang Lijin

来源：International Conference of Numerical Analysis and Applied Mathematics (ICNAAM), 2012-09-19 to 2012-09-25.

DOI：10.1063/1.4756519

• symplectic method
• stochastic variational integrators
• stochastic Hamiltonian system
• linear stochastic oscillator

In this manuscript, we apply the stochastic variational integrators theory to a linear stochastic oscillator, to construct a new symplectic scheme via a different discretization of the stochastic action integral. Numerical tests show efficiency, as well as the second order mean-square convergence of the scheme.

• 出版日期2012
• 单位河南理工大学