Symplectic numerical integration for Hamiltonian stochastic differential equations with multiplicative Lévy noise in the sense of Marcus

Zhan, Qingyi; Duan, Jinqiao; Li, Xiaofan; Li, Yuhong

doi:10.1016/j.matcom.2023.08.012

Title: Symplectic numerical integration for Hamiltonian stochastic differential equations with multiplicative Lévy noise in the sense of Marcus

Journal Article · 01 January 2024 · Mathematics and Computers in Simulation

DOI: https://doi.org/10.1016/j.matcom.2023.08.012 · OSTI ID:1997909

Zhan, Qingyi;

;

; Li, Yuhong

View Accepted Manuscript (Publisher)

Cite

Export

Save

Sponsoring Organization:: USDOE

Grant/Contract Number:: SC00222766

OSTI ID:: 1997909

Journal Information:: Mathematics and Computers in Simulation, Journal Name: Mathematics and Computers in Simulation Vol. 215 Journal Issue: C; ISSN 0378-4754

Publisher:: ElsevierCopyright Statement

Country of Publication:: Netherlands

Language:: English

References (14)

Numerical integration of stochastic contact Hamiltonian systems via stochastic Herglotz variational principle Zhan, Qingyi; Duan, Jinqiao; Li, Xiaofan Physica Scripta, Vol. 98, Issue 5 https://doi.org/10.1088/1402-4896/acc984	journal	April 2023
Marcus versus Stratonovich for systems with jump noise Chechkin, Alexei; Pavlyukevich, Ilya Journal of Physics A: Mathematical and Theoretical, Vol. 47, Issue 34 https://doi.org/10.1088/1751-8113/47/34/342001	journal	August 2014
Symplectic Integration of Hamiltonian Systems with Additive Noise Milstein, G. N.; Repin, Yu. M.; Tretyakov, M. V. SIAM Journal on Numerical Analysis, Vol. 39, Issue 6 https://doi.org/10.1137/S0036142901387440	journal	January 2002
An averaging principle for stochastic dynamical systems with Lévy noise Xu, Yong; Duan, Jinqiao; Xu, Wei Physica D: Nonlinear Phenomena, Vol. 240, Issue 17 https://doi.org/10.1016/j.physd.2011.06.001	journal	August 2011
Maximum norm error bound of a linearized difference scheme for a coupled nonlinear Schrödinger equations Wang, Tingchun Journal of Computational and Applied Mathematics, Vol. 235, Issue 14 https://doi.org/10.1016/j.cam.2011.03.019	journal	May 2011
A Discrete Grönwall Inequality and Energy Estimates in the Analysis of a Discrete Model for a Nonlinear Time-Fractional Heat Equation Hendy, Ahmed S.; Macías-Díaz, Jorge E. Mathematics, Vol. 8, Issue 9 https://doi.org/10.3390/math8091539	journal	September 2020
Modeling and approximation of stochastic differential equations driven by semimartingales^† Marcus, Steven I. Stochastics, Vol. 4, Issue 3 https://doi.org/10.1080/17442508108833165	journal	January 1981
Shadowing orbits of a class of random differential equations Zhan, Qingyi Applied Numerical Mathematics, Vol. 136 https://doi.org/10.1016/j.apnum.2018.10.010	journal	February 2019
Numerical Methods for Stochastic Systems Preserving Symplectic Structure Milstein, G. N.; Repin, Yu. M.; Tretyakov, M. V. SIAM Journal on Numerical Analysis, Vol. 40, Issue 4 https://doi.org/10.1137/S0036142901395588	journal	January 2002
Symplectic scheme for the Schrödinger equation with fractional Laplacian Xiao, Aiguo; Wang, Junjie Applied Numerical Mathematics, Vol. 146 https://doi.org/10.1016/j.apnum.2019.08.002	journal	December 2019
Approximate accelerated stochastic simulation of chemically reacting systems Gillespie, Daniel T. The Journal of Chemical Physics, Vol. 115, Issue 4 https://doi.org/10.1063/1.1378322	journal	July 2001
Symplectic Integrators to Stochastic Hamiltonian Dynamical Systems Derived from Composition Methods Misawa, Tetsuya Mathematical Problems in Engineering, Vol. 2010 https://doi.org/10.1155/2010/384937	journal	January 2010
Simulation of one-dimensional noisy Hamiltonian systems and their application to particle storage rings Seeßelberg, M.; Breuer, H. P.; Mais, H. Zeitschrift für Physik C Particles and Fields, Vol. 62, Issue 1 https://doi.org/10.1007/BF01559525	journal	March 1994
Hamiltonian systems with Lévy noise: Symplecticity, Hamilton’s principle and averaging principle Wei, Pingyuan; Chao, Ying; Duan, Jinqiao Physica D: Nonlinear Phenomena, Vol. 398 https://doi.org/10.1016/j.physd.2019.05.013	journal	November 2019

Similar Records

Stochastic symplectic and multi-symplectic methods for nonlinear Schrödinger equation with white noise dispersion

Journal Article · 2017 · Journal of Computational Physics · OSTI ID:22622314

Cui, Jianbo; Hong, Jialin; Liu, Zhihui; +1 more

Multilevel particle filters for Lévy-driven stochastic differential equations

Journal Article · 2018 · Statistics and Computing · OSTI ID:1619441

Jasra, Ajay; Law, Kody J. H.; Osei, Prince Peprah

A stochastic multi-symplectic scheme for stochastic Maxwell equations with additive noise

Journal Article · 2014 · Journal of Computational Physics · OSTI ID:22314873

Hong, Jialin; Ji, Lihai; Zhang, Liying

Title: Symplectic numerical integration for Hamiltonian stochastic differential equations with multiplicative Lévy noise in the sense of Marcus

Citation Formats

References (14)

Similar Records

Related Subjects