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High order numerical integrators for single integrand Stratonovich SDEs
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- Cohen, David (author)
- Gothenburg University,Göteborgs universitet,Institutionen för matematiska vetenskaper,Department of Mathematical Sciences,Chalmers tekniska högskola,Chalmers University of Technology,Umeå universitet,Umeå University,Institutionen för matematik och matematisk statistik,Department of Mathematical Sciences, Chalmers University of Technology and University of Gothenburg, Gothenburg, Sweden
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- Debrabant, K. (author)
- Syddansk Universitet,University of Southern Denmark,Department of Mathematics and Computer Science, University of Southern Denmark, Denmark
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- Rossler, A. (author)
- Universitaet Zu Lübeck,Institut für Mathematik, Universität zu Lübeck, Germany
- (creator_code:org_t)
- Elsevier BV, 2020
- 2020
- English.
- In: Applied Numerical Mathematics. - : Elsevier BV. - 0168-9274 .- 1873-5460. ; 158, s. 264-270
- Journal article (peer-reviewed)
Abstract
Subject headings
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- 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. (C) 2020 The Author(s). Published by Elsevier B.V. on behalf of IMACS.
Subject headings
- NATURVETENSKAP -- Matematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics (hsv//eng)
- NATURVETENSKAP -- Matematik -- Beräkningsmatematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Computational Mathematics (hsv//eng)
Keyword
- Stratonovich stochastic differential equation
- Single integrand SDEs
- Geometric numerical integration
- B-series methods
- Strong error
- Weak
- error
- High order
- runge-kutta methods
- stochastic differential-equations
- rooted tree
- analysis
- hamiltonian-systems
- taylor expansions
- scheme
- approximation
- functionals
- Mathematics
- Strong error
Publication and Content Type
- ref (subject category)
- art (subject category)
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- Cohen, David
- Debrabant, K.
- Rossler, A.
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- NATURAL SCIENCES
- NATURAL SCIENCES
- and Mathematics
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- NATURAL SCIENCES
- NATURAL SCIENCES
- and Mathematics
- and Computational Ma ...
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- Applied Numerica ...
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- University of Gothenburg
- Chalmers University of Technology
- Umeå University
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