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
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
Related Items
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