Casimir preserving stochastic Lie–Poisson integrators

Abstract

AbstractCasimir 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 using 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.