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math.NA2020
Symplectic method for Hamiltonian stochastic differential equations with multiplicative Lévy noise in the sense of Marcus
Qingyi Zhan, Jinqiao Duan, Xiaofan Li +1
A class of Hamiltonian stochastic differential equations with multiplicative Lévy noise in the sense of Marcus, and the construction and numerical implementation methods of symplec…
math.NA2020
Symplectic Euler scheme for Hamiltonian stochastic differential equations driven by Levy noise
Qingyi Zhan, Jinqiao Duan, Xiaofan Li
This paper proposes a general symplectic Euler scheme for a class of Hamiltonian stochastic differential equations driven by Lvy noise in the sense of Marcus form. The c…