Postprocessed Integrators for the High Order Integration of Ergodic SDEs

DOI10.1137/140974328zbMath1327.65018arXiv1411.3134OpenAlexW3104141614MaRDI QIDQ3454830

Gilles Vilmart

Publication date: 27 November 2015

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.3134

zbMATH Keywords

stochastic differential equationsergodicityinvariant measureeffective orderpostprocessormodified differential equations

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25)

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