High order numerical approximation of the invariant measure of ergodic SDEs (Q2927824)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: High order numerical approximation of the invariant measure of ergodic SDEs |
scientific article; zbMATH DE number 6365772
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High order numerical approximation of the invariant measure of ergodic SDEs |
scientific article; zbMATH DE number 6365772 |
Statements
4 November 2014
0 references
invariant measure
0 references
weak order
0 references
ergodicity
0 references
modified differential equations
0 references
backward error analysis
0 references
stochastic differential equation
0 references
convergence
0 references
stochastic theta method
0 references
Runge-Kutta method
0 references
numerical example
0 references
High order numerical approximation of the invariant measure of ergodic SDEs (English)
0 references
This paper considers the construction of numerical methods for solving stochastic differential equations with high convergence order with respect to the invariant measure. A systematic approach is given based on modified differential equations. Some new integrators are constructed based on the stochastic theta method. Higher-order methods require higher-order derivatives but the paper shows how Runge-Kutta methods can be constructed that remove the dependency on higher-order derivatives. Some numerical examples are presented.
0 references
