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High order numerical integrators for single integrand Stratonovich SDEs

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Názov: High order numerical integrators for single integrand Stratonovich SDEs
Autori: Cohen, David, 1977, Debrabant, Kristian, Rößler, Andreas
Zdroj: Numerisk analys och simulering av PDE med slumpmässig dispersion Applied Numerical Mathematics. 158:264-270
Predmety: Strong error, High order, Weak error, Stratonovich stochastic differential equation, Geometric numerical integration, B-series methods, Single integrand SDEs
Popis: We show that applying any deterministic B-series method of order pd with a random step size to single integrand SDEs gives a numerical method converging in the mean-square and weak sense with order left perpendicular pd/2 right perpendicular. As an application, we derive high order energy-preserving methods for stochastic Poisson systems as well as further geometric numerical schemes for this wide class of Stratonovich SDEs.
Popis súboru: electronic
Prístupová URL adresa: https://research.chalmers.se/publication/518714
https://research.chalmers.se/publication/520223
https://research.chalmers.se/publication/519576
https://research.chalmers.se/publication/520223/file/520223_Fulltext.pdf
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  Data: High order numerical integrators for single integrand Stratonovich SDEs
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  Data: <searchLink fieldCode="AR" term="%22Cohen%2C+David%22">Cohen, David</searchLink>, 1977<br /><searchLink fieldCode="AR" term="%22Debrabant%2C+Kristian%22">Debrabant, Kristian</searchLink><br /><searchLink fieldCode="AR" term="%22Rößler%2C+Andreas%22">Rößler, Andreas</searchLink>
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  Data: <i>Numerisk analys och simulering av PDE med slumpmässig dispersion Applied Numerical Mathematics</i>. 158:264-270
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  Data: <searchLink fieldCode="DE" term="%22Strong+error%22">Strong error</searchLink><br /><searchLink fieldCode="DE" term="%22High+order%22">High order</searchLink><br /><searchLink fieldCode="DE" term="%22Weak+error%22">Weak error</searchLink><br /><searchLink fieldCode="DE" term="%22Stratonovich+stochastic+differential+equation%22">Stratonovich stochastic differential equation</searchLink><br /><searchLink fieldCode="DE" term="%22Geometric+numerical+integration%22">Geometric numerical integration</searchLink><br /><searchLink fieldCode="DE" term="%22B-series+methods%22">B-series methods</searchLink><br /><searchLink fieldCode="DE" term="%22Single+integrand+SDEs%22">Single integrand SDEs</searchLink>
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  Label: Description
  Group: Ab
  Data: We show that applying any deterministic B-series method of order pd with a random step size to single integrand SDEs gives a numerical method converging in the mean-square and weak sense with order left perpendicular pd/2 right perpendicular. As an application, we derive high order energy-preserving methods for stochastic Poisson systems as well as further geometric numerical schemes for this wide class of Stratonovich SDEs.
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        Value: 10.1016/j.apnum.2020.08.002
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      – Text: English
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      – SubjectFull: Weak error
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      – SubjectFull: Stratonovich stochastic differential equation
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      – SubjectFull: B-series methods
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      – SubjectFull: Single integrand SDEs
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      – TitleFull: High order numerical integrators for single integrand Stratonovich SDEs
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              Y: 2020
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            – TitleFull: Numerisk analys och simulering av PDE med slumpmässig dispersion Applied Numerical Mathematics
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