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
order conditionsLangevin equationsStratonovich stochastic differential equationsRunge-KuttaB-seriesword seriessplitting algorithmslocal errors
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)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Computing normal forms and formal invariants of dynamical systems by means of word series
- A formal series approach to averaging: exponentially small error estimates
- Higher-order averaging, formal series and numerical integration. I: B-series
- Higher-order averaging, formal series and numerical integration. II: The quasi-periodic case
- Integration of paths, geometric invariants and a generalized Baker-Hausdorff formula
- Lie elements and an algebra associated with shuffles
- The Hopf algebra of rooted trees, free Lie algebras, and Lie series
- On the Butcher group and general multi-value methods
- Canonical \(B\)-series
- New families of symplectic splitting methods for numerical integration in dynamical astronomy
- Diffusion processes and stochastic calculus
- Higher-order averaging, formal series and numerical integration. III: Error bounds
- Word series for dynamical systems and their numerical integrators
- Order Conditions of Stochastic Runge--Kutta Methods by B-Series
- The computation of averages from equilibrium and nonequilibrium Langevin molecular dynamics
- Splitting and composition methods in the numerical integration of differential equations
- Long-Run Accuracy of Variational Integrators in the Stochastic Context
- Fonctionnelles causales non linéaires et indéterminées non commutatives
- Order conditions for numerical integrators obtained by composing simpler integrators
- Symplectic Methods Based on Decompositions
- The algebra of iterated stochastic integrals
- Rational Construction of Stochastic Numerical Methods for Molecular Sampling
- Algebraic structure of stochastic expansions and efficient simulation
- Geometric Numerical Integration
- Coefficients for the study of Runge-Kutta integration processes
This page was built for publication: A Technique for Studying Strong and Weak Local Errors of Splitting Stochastic Integrators