High weak order methods for stochastic differential equations based on modified equations
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Publication:2909289
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- Weak backward error analysis for stochastic Hamiltonian systems
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- Numerical methods for stochastic simulation: when stochastic integration meets geometric numerical integration
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- Mean-square \(A\)-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations
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- A uniformly accurate scheme for the numerical integration of penalized Langevin dynamics
- Optimal explicit stabilized integrator of weak order 1 for stiff and ergodic stochastic differential equations
- On the existence and the applications of modified equations for stochastic differential equations
- Order conditions for stochastic Runge-Kutta methods preserving quadratic invariants of Stratonovich SDEs
- Preservation of quadratic invariants of stochastic differential equations via Runge-Kutta methods
- Modified equations for weakly convergent stochastic symplectic schemes via their generating functions
- A Monte Carlo method for 3D radiative transfer equations with multifractional singular kernels
- Drift-preserving numerical integrators for stochastic Poisson systems
- Order conditions for sampling the invariant measure of ergodic stochastic differential equations on manifolds
- Weak backward error analysis for Langevin process
- Error estimates on ergodic properties of discretized Feynman-Kac semigroups
- Splitting integrators for stochastic Lie–Poisson systems
- Optimal convergence rate of modified Milstein scheme for SDEs with rough fractional diffusions
- Weak approximation schemes for SDEs with super-linearly growing coefficients
- Numerical solution of stochastic quantum master equations using stochastic interacting wave functions
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