Symplectic Integrators for a Linear Stochastic Oscillator with Multiplicative Noise


Stochastic symplectic integrators arising from the generating function approach of constructing symplectic numerical methods for a linear stochastic oscillator with multiplicative noise are investigated. Numerical tests show efficiency and superiority of these integrators in comparison with non-symplectic numerical methods.

  • Abstract
  • Key Words
  • 1. Introduction
  • 2. The Symplectic Integrators
  • 3. Numerical Tests
  • 4. Summaries
  • Acknowledgment
  • References

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