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Drift-preserving numerical integrators for stochastic Poisson systems.
- Source :
-
International Journal of Computer Mathematics . Jan 2022, Vol. 99 Issue 1, p4-20. 17p. - Publication Year :
- 2022
-
Abstract
- We perform a numerical analysis of a class of randomly perturbed Hamiltonian systems and Poisson systems. For the considered additive noise perturbation of such systems, we show the long-time behaviour of the energy and quadratic Casimirs for the exact solution. We then propose and analyse a drift-preserving splitting scheme for such problems with the following properties: exact drift preservation of energy and quadratic Casimirs, mean-square order of convergence 1, weak order of convergence 2. These properties are illustrated with numerical experiments. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00207160
- Volume :
- 99
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- International Journal of Computer Mathematics
- Publication Type :
- Academic Journal
- Accession number :
- 155084079
- Full Text :
- https://doi.org/10.1080/00207160.2021.1922679