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DYNAMICS AND VARIATIONAL INTEGRATORS OF STOCHASTIC HAMILTONIAN SYSTEMS

文献类型：期刊论文

作者Wang, Lijin1; Hong, Jialin2; Scherer, Rudolf3; Bai, Fengshan1
刊名INTERNATIONAL JOURNAL OF NUMERICAL ANALYSIS AND MODELING
出版日期2009
卷号6期号:4页码:586-602
ISSN号1705-5105
关键词Hamilton's principle stochastic Hamiltonian systems symplectic methods variational integrators
英文摘要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.
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
语种英语
出版者ISCI-INST SCIENTIFIC COMPUTING & INFORMATION
WOS记录号WOS:000271544000003
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/8206]  
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.

入库方式： OAI收割

来源：数学与系统科学研究院

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