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arxiv: 1507.06193 · v1 · pith:JNUDXZ4Onew · submitted 2015-07-22 · 🧮 math.PR · math.OC

Helmholtz theorem for stochastic Hamiltonian systems

classification 🧮 math.PR math.OC
keywords hamiltonianstochastictheoremassociatedgivehelmholtzsystemsadmitting
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We derive the Helmholtz theorem for stochastic Hamiltonian systems. Precisely, we give a theorem characterizing Stratonovich stochastic differential equations, admitting a Hamiltonian formulation. Moreover, in the affirmative case, we give the associated Hamiltonian. This result show coherence with the approach of \cite{milstein} where the authors answered to this problem through the preservation of the symplectic form but without providing the Hamiltonian associated.

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