A Technique for Studying Strong and Weak Local Errors of Splitting Stochastic Integrators

DOI10.1137/16M1058765zbMath1353.65004arXiv1601.07335MaRDI QIDQ2834565

A. Alamo, Jesús María Sanz-Serna

Publication date: 23 November 2016

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.07335

zbMATH Keywords

order conditionsLangevin equationsStratonovich stochastic differential equationsRunge-KuttaB-seriesword seriessplitting algorithmslocal errors

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70)

Related Items (11)

A splitting method for SDEs with locally Lipschitz drift: illustration on the FitzHugh-Nagumo model ⋮ Word combinatorics for stochastic differential equations: splitting integrators ⋮ Splitting integrators for stochastic Lie–Poisson systems ⋮ Splitting schemes for FitzHugh-Nagumo stochastic partial differential equations ⋮ Analysis of a splitting scheme for a class of nonlinear stochastic Schrödinger equations ⋮ Palindromic 3-stage splitting integrators, a roadmap ⋮ Vibrational resonance: a study with high-order word-series averaging ⋮ Word series high-order averaging of highly oscillatory differential equations with delay ⋮ Unnamed Item ⋮ Geometric integrators and the Hamiltonian Monte Carlo method ⋮ Exotic aromatic B-series for the study of long time integrators for a class of ergodic SDEs

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