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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Year of Publication:2007
Language:English
Physical Description:1 electronic resource (144 p. p.)
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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.
ISBN:1000007007
Hierarchical level:Monograph