High order numerical integrators for single integrand Stratonovich SDEs
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| Titel: | High order numerical integrators for single integrand Stratonovich SDEs |
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| Autoren: | Cohen, David, 1977, Debrabant, Kristian, Rößler, Andreas |
| Quelle: | Numerisk analys och simulering av PDE med slumpmässig dispersion Applied Numerical Mathematics. 158:264-270 |
| Schlagwörter: | Strong error, High order, Weak error, Stratonovich stochastic differential equation, Geometric numerical integration, B-series methods, Single integrand SDEs |
| Beschreibung: | 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. |
| Dateibeschreibung: | electronic |
| Zugangs-URL: | 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 |
| Datenbank: | SwePub |
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Nájsť tento článok vo Web of Science | Abstract: | 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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| ISSN: | 01689274 |
| DOI: | 10.1016/j.apnum.2020.08.002 |