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Energy-preserving integrators for stochastic Poisson systems

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David Cohen (Ume°a universitet, Sweden)

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Abstract. We will present a new class of energy-preserving numerical schemes for stochastic Hamiltonian systems with non-canonical structure matrix. These numerical integrators are of mean-square order one, preserve quadratic Casimir functions and reduce to well known integrators in the deterministic case. This is a joint work with G. Dujardin (INRIA Lille Nord Europe)

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