High weak order methods for stochastic differential equations based on modified equations
DOI10.1137/110846609zbMATH Open1246.65008OpenAlexW2164042891MaRDI QIDQ2909289FDOQ2909289
Authors: Assyr Abdulle, David Cohen, Gilles Vilmart, Konstantinos C. Zygalakis 
Publication date: 30 August 2012
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://archive-ouverte.unige.ch/unige:41947
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Cited In (27)
- Lawson schemes for highly oscillatory stochastic differential equations and conservation of invariants
- Improving dynamical properties of metropolized discretizations of overdamped Langevin dynamics
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- High order numerical integrators for single integrand Stratonovich SDEs
- A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise
- Weak backward error analysis for stochastic Hamiltonian systems
- Analysis of multiscale integrators for multiple attractors and irreversible Langevin samplers
- Numerical methods for stochastic simulation: when stochastic integration meets geometric numerical integration
- Asymptotically-preserving large deviations principles by stochastic symplectic methods for a linear stochastic oscillator
- Mean-square \(A\)-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations
- Long-Term Analysis of Stochastic Hamiltonian Systems Under Time Discretizations
- High order conformal symplectic and ergodic schemes for the stochastic Langevin equation via generating functions
- 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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