Numerical integrations of stochastic contact Hamiltonian systems via stochastic contact Hamilton-Jacobi equation

Abstract

Stochastic contact Hamiltonian systems are a class of important mathematical models, which can describe the dissipative properties with odd dimensions in the stochastic environment. In this article, we investigate the numerical dynamics of the stochastic contact Hamiltonian systems via structure-preserving methods. The contact structure-preserving schemes are constructed by the stochastic contact Hamilton-Jacobi equation. A general numerical approximation method of the stochastic contact Hamilton-Jacobi equation is devised, and the convergent order theorem is provided, too. Numerical tests are shown to confirm the theoretical results and the usability of proposed approach.