Symplectic method for Hamiltonian stochastic differential equations with multiplicative L\'{e}vy noise in the sense of Marcus

Autor:	Zhan, Qingyi, Duan, Jinqiao, Li, Xiaofan, Li, Yuhong
Rok vydání:	2020
Předmět:	Mathematics - Numerical Analysis
Druh dokumentu:	Working Paper
Popis:	A class of Hamiltonian stochastic differential equations with multiplicative L\'{e}vy noise in the sense of Marcus, and the construction and numerical implementation methods of symplectic Euler scheme, are considered. A general symplectic Euler scheme for this kind of Hamiltonian stochastic differential equations is devised, and its convergence theorem is proved. The second part presents realizable numerical implementation methods for this scheme in details. Some numerical experiments are conducted to demonstrate the effectiveness and superiority of the proposed method by the simulations of its orbits, Hamlitonian,and convergence order over a long time interval. Comment: arXiv admin note: substantial text overlap with arXiv:2006.15500
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2010.07691 Zobrazit plný text záznamu View this record from Arxiv