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Casimir preserving stochastic Lie-Poisson integrators (2111.13143v6)
Published 25 Nov 2021 in math.NA and cs.NA
Abstract: Casimir preserving integrators for stochastic Lie-Poisson equations with Stratonovich noise are developed extending Runge-Kutta Munthe-Kaas methods. The underlying Lie-Poisson structure is preserved along stochastic trajectories. A related stochastic differential equation on the Lie algebra is derived. The solution of this differential equation updates the evolution of the Lie-Poisson dynamics by means of the exponential map. The constructed numerical method conserves Casimir-invariants exactly, which is important for long time integration. This is illustrated numerically for the case of the stochastic heavy top and the stochastic sine-Euler equations.