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

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

34F05: Ordinary differential equations and systems with randomness

65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

65L70: Error bounds for numerical methods for ordinary differential equations

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