【摘 要】
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The implicit-explicit stochastic variational integrator is derived by the Hamiltons principle with noises for second-order stochastic differential equations
【出 处】
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2013第十三届微分方程数值方法学术会议暨第十届仿真算法学术会议
论文部分内容阅读
The implicit-explicit stochastic variational integrator is derived by the Hamiltons principle with noises for second-order stochastic differential equations.According to this numerical methods,the potentials are split as fast potential and slow potential with respect to the action integral with noise.By using different quadrature rules to approximate the contribution of each potential to the action integral with noise,a stochastic variational integrator,which is implicit in the fast part and explicit in the slow part,is obtained.It is also proved that the scheme can preserve symplectic structure of the original systems and has the mean-square convergence order 1.
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