Structure-preserving methods for Marcus stochastic Hamiltonian systems with additive Levy noise

被引：1

作者：

Zhan, Qingyi ^{[1
]}

Duan, Jinqiao ^{[2
,3
,4
]}

Li, Xiaofan ^{[5
]}

机构：

[1] Fujian Agr & Forestry Univ, Coll Comp & Informat Sci, Fuzhou 350002, Peoples R China

[2] Great Bay Univ, Dept Math, Dongguan 523000, Guangdong, Peoples R China

[3] Great Bay Univ, Dept Phys, Dongguan 523000, Guangdong, Peoples R China

[4] Huazhong Univ Sci & Technol, Ctr Math Sci, Wuhan 430074, Hubei, Peoples R China

[5] IIT, Dept Appl Math, Chicago, IL 60616 USA

来源：

JOURNAL OF MATHEMATICAL PHYSICS | 2024年 / 65卷 / 11期

关键词：

INTEGRATION; DRIVEN;

D O I：

10.1063/5.0213902

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

A general structure-preserving method is proposed for a class of Marcus stochastic Hamiltonian systems driven by additive Levy 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.

引用

页数：17