Structure-preserving methods for Marcus stochastic Hamiltonian systems with additive Lévy noise
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.
Authors
- Jinqiao Duan (ORCID: https://orcid.org/0000-0002-2077-990X)
- Xiaofan Li (ORCID: https://orcid.org/0000-0001-9571-7482)
- Qingyi Zhan (ORCID: https://orcid.org/0000-0003-0110-6029)
Institutions
- Illinois Institute of Technology (US)
- Great Bay University
- Huazhong University of Science and Technology (CN)
- Fujian Agriculture and Forestry University (CN)
Publication Details
- Journal
- Journal of Mathematical Physics
- Published
- 2024-11-01
- DOI
- https://doi.org/10.1063/5.0213902
- Citations
- 1
- Primary Topic
- Advanced Thermodynamics and Statistical Mechanics
- Type
- article
- Field-Weighted Citation Impact
- 0.28
Funders
- National Natural Science Foundation of China
- Idaho Operations Office, U.S. Department of Energy