Dynamics of Stochastic Hamiltonian systems I - Wong-Zakai Variational integrators
We construct variational integrators to study the dynamics of stochastic Hamiltonian systems using their Wong-Zakai approximation. This approach can be used to interpret and justify previous work of Wang et al (L. Wang, J. Hong, R. Scherer, F. Bai. Dynamics and variational Integrators of stochastic Hamiltonian systems. International Journal of Numerical Analysis and Modeling, 6(4), 2009) on stochastic variational integrators. Numerical examples are provided.
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