A general structure-preserving method is proposed for a class of Marcus stochastic Hamiltonian systems driven by additive Lévy noise. The convergence of the symplectic Euler scheme for this systems is… Click to show full abstract
A general structure-preserving method is proposed for a class of Marcus stochastic Hamiltonian systems driven by additive Lévy noise. The convergence of the symplectic Euler scheme for this systems is investigated by Generalized Milstein Theorem. Realizable numerical implementation of this scheme is also provided in details. Numerical experiments are presented to illustrate the effectiveness and superiority of the proposed scheme. Applications of the method to solve two mathematical physical problems are provided.
Keywords:
marcus stochastic;
stochastic hamiltonian;
additive noise;
structure preserving;
hamiltonian systems
Journal Title: Journal of Mathematical Physics
Year Published: 2024
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Journal Title: Journal of Mathematical Physics
Year Published: 2024
Link to full text (if available)
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recommendations!