Weak Backward Error Analysis for SDEs

DOI10.1137/110831544zbMath1256.65002arXiv1105.0489OpenAlexW2143772503MaRDI QIDQ2903058

Arnaud Debussche, Erwan Faou

Publication date: 23 August 2012

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1105.0489

zbMATH Keywords

invariant measureKolmogorov operatorEuler-Maruyama methodweak backward error analysis

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) 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)

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