Symplectic integration of stochastic Hamiltonian systems / Jialin Hong, Liying Sun.

Format:

Book

Author/Creator:

Hong, Jialin, Author.

Sun, Liying (Mathematician), author.

Series:

Lecture notes in mathematics (Springer-Verlag) ; 0075-8434 v. 2314.

Lecture notes in mathematics, 0075-8434 ; v. 2314

Language:

English

Subjects (All):

Hamiltonian systems.

Stochastic differential equations.

Symplectic groups.

Physical Description:

xii, 298 pages : illustrations ; 24 cm.

Place of Publication:

Singapore : Springer, [2022]

Summary:

"This book provides an accessible overview concerning the stochastic numerical methods inheriting long-time dynamical behaviours of finite and infinite-dimensional stochastic Hamiltonian systems. The long-time dynamical behaviours under study involve symplectic structure, invariants, ergodicity and invariant measure. The emphasis is placed on the systematic construction and the probabilistic superiority of stochastic symplectic methods, which preserve the geometric structure of the stochastic flow of stochastic Hamiltonian systems. The problems considered in this book are related to several fascinating research hotspots: numerical analysis, stochastic analysis, ergodic theory, stochastic ordinary and partial differential equations, and rough path theory. This book will appeal to researchers who are interested in these topics."-- Provided by publisher.

Contents:

Chapter 1. Deterministic Hamiltonian System

Chapter 2. Stochastic Hamiltonian System

Chapter 3. Stochastic Structure Preserving Numerical Integrators

Chapter 4. Stochastic Modified Equation and Its Applications

Chapter 5. Stochastic Hamiltonian Partial Differential Equation.

Notes:

Includes bibliographical references (pages 287-298).

Contents note reflects chapter titles in printed book.

ISBN:

9789811976698

9811976694

OCLC:

1372302889