Energy-preserving integrators for stochastic Poisson systems

David Cohen
UMIT Research Lab
Department of Mathematics and Mathematical Statistics
Umeå University


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)