DYNAMICS AND VARIATIONAL INTEGRATORS OF STOCHASTIC HAMILTONIAN SYSTEMS

	DYNAMICS AND VARIATIONAL INTEGRATORS OF STOCHASTIC HAMILTONIAN SYSTEMS
	Wang, Lijin 1; Hong, Jialin2 ; Scherer, Rudolf 3; Bai, Fengshan 1
	2009
发表期刊	INTERNATIONAL JOURNAL OF NUMERICAL ANALYSIS AND MODELING
ISSN	1705-5105
卷号	6 期号:4 页码:586-602
摘要	Stochastic action integral and Lagrange formalism of stochastic Hamiltonian systems are written through construing the stochastic Hamiltonian systems as nonconservative systems with white noise as the nonconservative 'force'. Stochastic Hamilton's principle and its discrete version are derived. Based on these, a systematic approach of producting symplectic numerical methods for stochastic Hamiltonian systems, i.e., the stochastic variational integrators are established. Numerical tests show validity of this approach.
关键词	Hamilton's principle stochastic Hamiltonian systems symplectic methods variational integrators
语种	英语
资助项目	China Postdoctoral Science Foundation[20080430402] ; Mathematical Department of the University of Karlsruhe, Germany ; ICMSEC ; AMSS ; Foundation of CAS ; NNSFC[19971089] ; NNSFC[10371128] ; Special Funds for Major State Basic Research Projects of China[2005CB321700]
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000271544000003
出版者	ISCI-INST SCIENTIFIC COMPUTING & INFORMATION
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/8207
专题	计算数学与科学工程计算研究所
通讯作者	Wang, Lijin
作者单位	1.Tsinghua Univ, Dept Math Sci, Beijing 100084, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Inst Computat Math & Sci Engn Comp, State Key Lab Sci & Engn Comp, Beijing 100080, Peoples R China 3.Univ Karlsruhe TH, Inst Appl & Numer Math, D-76128 Karlsruhe, Germany
推荐引用方式 GB/T 7714	Wang, Lijin,Hong, Jialin,Scherer, Rudolf,et al. DYNAMICS AND VARIATIONAL INTEGRATORS OF STOCHASTIC HAMILTONIAN SYSTEMS[J]. INTERNATIONAL JOURNAL OF NUMERICAL ANALYSIS AND MODELING,2009,6(4):586-602.
APA	Wang, Lijin,Hong, Jialin,Scherer, Rudolf,&Bai, Fengshan.(2009).DYNAMICS AND VARIATIONAL INTEGRATORS OF STOCHASTIC HAMILTONIAN SYSTEMS.INTERNATIONAL JOURNAL OF NUMERICAL ANALYSIS AND MODELING,6(4),586-602.
MLA	Wang, Lijin,et al."DYNAMICS AND VARIATIONAL INTEGRATORS OF STOCHASTIC HAMILTONIAN SYSTEMS".INTERNATIONAL JOURNAL OF NUMERICAL ANALYSIS AND MODELING 6.4(2009):586-602.