Work

Dynamics of Stochastic Hamiltonian systems I - Wong-Zakai Variational integrators

Year: 2026

Type: preprint

Abstract: We construct variational integrators to study the dynamics of stochastic Hamiltonian systems using their Wong-Zakai approximation. This approach can be used to interpret and justify previous work of Wang et al (L. Wang, J. Hong, R. Scherer, F. Bai. Dynamics and variational Integrators of stochastic Hamiltonian systems. International Journal of Numerical Analysis and Modeling, 6(4), 2009) on stochastic variational integrators. Numerical examples are provided.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.2609.19949

Authors: Cresson, Jacky, SAfI, Rouba

Institution: Laboratoire de Mathématiques et de leurs Applications

Language: English

Topic: Numerical Solvers for Ordinary Differential Equations

Subfield: Numerical Analysis

Field: Mathematics

Domain: Physical Sciences

Open Access status: green

OpenAlex ID: W7213605863

Cites: 2

Cited by:

Related to: 10