Energy-preserving integrators for stochastic Poisson systems

David Cohen 1 Guillaume Dujardin 2, 3
2 MEPHYSTO - Quantitative methods for stochastic models in physics
LPP - Laboratoire Paul Painlevé - UMR 8524, ULB - Université Libre de Bruxelles [Bruxelles], Inria Lille - Nord Europe
Abstract : A new class of energy-preserving numerical schemes for stochastic Hamiltonian systems with non-canonical structure matrix (in the Stratonovich sense) is proposed. These numerical integrators are of mean-square order one and also preserve quadratic Casimir functions.
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David Cohen, Guillaume Dujardin. Energy-preserving integrators for stochastic Poisson systems. Communications in Mathematical Sciences, International Press, 2014, 12 (8), pp.17. ⟨hal-00907890⟩

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