High order numerical integrators for single integrand Stratonovich SDEs
Numerical Analysis
2020-08-19 v2 Numerical Analysis
Probability
Abstract
We show that applying any deterministic B-series method of order with a random step size to single integrand SDEs gives a numerical method converging in the mean-square and weak sense with order .As an application, we derive high order energy-preserving methods for stochastic Poisson systems as well as further geometric numerical schemes for this wide class of Stratonovich SDEs.
Cite
@article{arxiv.2004.12887,
title = {High order numerical integrators for single integrand Stratonovich SDEs},
author = {David Cohen and Kristian Debrabant and Andreas Rößler},
journal= {arXiv preprint arXiv:2004.12887},
year = {2020}
}