High Weak Order Methods for Stochastic Differential Equations Based on Modified Equations
Artikel i vetenskaplig tidskrift, 2012

Inspired by recent advances in the theory of modified differential equations, we propose a new methodology for constructing numerical integrators with high weak order for the time integration of stochastic differential equations. This approach is illustrated with the constructions of new methods of weak order two, in particular, semi-implicit integrators well suited for stiff (meansquare stable) stochastic problems, and implicit integrators that exactly conserve all quadratic first integrals of a stochastic dynamical system. Numerical examples confirm the theoretical results and show the versatility of our methodology.

Stiff integrator

Backward error analysis

Invariant preserving integrator

Weak convergence

Modified equations


Assyr Abdulle

Ecole Polytechnique Federale de Lausanne (EPFL)

David Cohen

Karlsruher Institut für Technologie (KIT)

Gilles Vilmart

Ecole Polytechnique Federale de Lausanne (EPFL)

Ecole Normale Superieure de Cachan

Konstantinos Zygalakis

Ecole Polytechnique Federale de Lausanne (EPFL)

University of Southampton

SIAM Journal of Scientific Computing

1064-8275 (ISSN) 1095-7197 (eISSN)

Vol. 34 3 A1800-A1823





Mer information

Senast uppdaterat