High order numerical integrators for single integrand Stratonovich SDEs
Artikel i vetenskaplig tidskrift, 2020
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.
Strong error
High order
Weak error
Stratonovich stochastic differential equation
Geometric numerical integration
B-series methods
Single integrand SDEs
Författare
David Cohen
Chalmers, Matematiska vetenskaper, Tillämpad matematik och statistik
Umeå universitet
Kristian Debrabant
Syddansk Universitet
Andreas Rößler
Universitaet Zu Lübeck
Applied Numerical Mathematics
0168-9274 (ISSN)
Vol. 158 264-270Numerisk analys och simulering av PDE med slumpmässig dispersion
Vetenskapsrådet (VR) (2018-04443), 2019-01-01 -- 2022-12-31.
Ämneskategorier
Beräkningsmatematik
DOI
10.1016/j.apnum.2020.08.002