Weak backward error analysis for SDEs

DOI10.1137/110831544MaRDI QIDQ2903058zbMATH OpenOpenAlexFDO

Authors A. 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

Euler-Maruyama methodinvariant measureKolmogorov operatorweak backward error analysis

Mathematics Subject Classification ID

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

Abstract: We consider numerical approximations of stochastic differential equations by the Euler method. In the case where the SDE is elliptic or hypoelliptic, we show a weak backward error analysis result in the sense that the generator associated with the numerical solution coincides with the solution of a modified Kolmogorov equation up to high order terms with respect to the stepsize. This implies that every invariant measure of the numerical scheme is close to a modified invariant measure obtained by asymptotic expansion. Moreover, we prove that, up to negligible terms, the dynamic associated with the Euler scheme is exponentially mixing.

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