SciCADE 2013
International Conference on Scientific Computation and Differential Equations
September 16-20, 2013, Valladolid (Spain)

Invited Talk

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Energy-preserving integrators for stochastic Poisson systems

D. Cohen and G. Dujardin

A new class of energy-preserving numerical schemes for stochastic Hamiltonian systems with non-canonical structure matrix (in the Stratonovich sense) is proposed. These numerical integrators are of mean-square order one and also preserve quadratic Casimir functions. In the deterministic setting, our schemes reduce to methods proposed in [2] and [1].

[1] D. Cohen and E. Hairer, Linear energy-preserving integrators for Poisson systems, BIT 51 (2011), pp. 91-101.
[2] E. Hairer, Energy-preserving variant of collocation methods, JNAIAM J. Numer. Anal. Ind. Appl. Math., 5 (2011), pp. 73-84.

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