Variational Integrators and Generating Functions for Stochastic Hamiltonian Systems

Variational Integrators and Generating Functions for Stochastic Hamiltonian Systems

In this work, the stochastic version of the variational principle is established, important for stochastic symplectic integration, and for structure-preserving algorithms of stochastic dynamical systems. Based on it, the stochastic variational integrators in formulation of stochastic Lagrangian func...

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Bibliographic Details
Main Author: Wang, Lijin (auth)
Format: Electronic Book Chapter
Language:English
Published: KIT Scientific Publishing 2007
Subjects:
Weißes Rauschen
Variationsprinzip
Hamilton-Jacobi-Differentialgleichung
Stochastische Differentialgleichung
Hamilton-Gleichungen
Hamiltonsches System
Symplektische Abbildung
Numerische Mathematik
Symplektische Matrix
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Summary:In this work, the stochastic version of the variational principle is established, important for stochastic symplectic integration, and for structure-preserving algorithms of stochastic dynamical systems. Based on it, the stochastic variational integrators in formulation of stochastic Lagrangian functions are proposed, and some applications to symplectic integrations are given. Three types of generating functions in the cases of one and two noises are discussed for constructing new schemes.
Physical Description:1 electronic resource (144 p. p.)
ISBN:KSP/1000007007
9783866441552
Access:Open Access

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