Modified equations for stochastic differential equations

DOI10.1007/s10543-005-0041-0zbMath1091.65005OpenAlexW2084807853MaRDI QIDQ2492724

Tony Shardlow

Publication date: 14 June 2006

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10543-005-0041-0

zbMATH Keywords

weak convergencestochastic differential equationsbackward error analysisEuler approximations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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 (8)

Long-Term Analysis of Stochastic Hamiltonian Systems Under Time Discretizations ⋮ Modified equations for weakly convergent stochastic symplectic schemes via their generating functions ⋮ Multilevel Monte Carlo and improved timestepping methods in atmospheric dispersion modelling ⋮ Weak backward error analysis for Langevin process ⋮ Asymptotically-Preserving Large Deviations Principles by Stochastic Symplectic Methods for a Linear Stochastic Oscillator ⋮ Weak backward error analysis for stochastic Hamiltonian systems ⋮ Calculating effective diffusivities in the limit of vanishing molecular diffusion ⋮ Optimal convergence rate of modified milstein scheme for SDEs with rough fractional diffusions

Cites Work

• Asymptotic expansion of stochastic flows
• An efficient approximation method for stochastic differential equations by means of the exponential Lie series
• On the relation between ordinary and stochastic differential equations
• Quasi-symplectic methods for Langevin-type equations
• Numerical Methods for Stochastic Systems Preserving Symplectic Structure
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