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dc.contributor.authorAbdulle, Assyr
dc.contributor.authorCohen, David
dc.contributor.authorVilmart, Gilles
dc.contributor.authorZygalakis, Konstantinos C.
dc.date.accessioned2016-02-25T13:30:47Z
dc.date.available2016-02-25T13:30:47Z
dc.date.issued2012-01
dc.identifier.citationAbdulle A, Cohen D, Vilmart G, Zygalakis KC (2012) High Weak Order Methods for Stochastic Differential Equations Based on Modified Equations. SIAM Journal on Scientific Computing 34: A1800–A1823. Available: http://dx.doi.org/10.1137/110846609.
dc.identifier.issn1064-8275
dc.identifier.issn1095-7197
dc.identifier.doi10.1137/110846609
dc.identifier.urihttp://hdl.handle.net/10754/598483
dc.description.abstract© 2012 Society for Industrial and Applied Mathematics. Inspired by recent advances in the theory of modified differential equations, we propose a new methodology for constructing numerical integrators with high weak order for the time integration of stochastic differential equations. This approach is illustrated with the constructions of new methods of weak order two, in particular, semi-implicit integrators well suited for stiff (meansquare stable) stochastic problems, and implicit integrators that exactly conserve all quadratic first integrals of a stochastic dynamical system. Numerical examples confirm the theoretical results and show the versatility of our methodology.
dc.description.sponsorshipThis author's work was partially supported under Swiss National Foundation grant 200021_140692.This author's work was supported by award KUK-C1-013-04 of the King Abdullah University of Science and Technology (KAUST).
dc.publisherSociety for Industrial & Applied Mathematics (SIAM)
dc.subjectBackward error analysis
dc.subjectInvariant preserving integrator
dc.subjectModified equations
dc.subjectStiff integrator
dc.subjectWeak convergence
dc.titleHigh Weak Order Methods for Stochastic Differential Equations Based on Modified Equations
dc.typeArticle
dc.identifier.journalSIAM Journal on Scientific Computing
dc.contributor.institutionEcole Polytechnique Federale de Lausanne, Lausanne, Switzerland
dc.contributor.institutionKarlsruhe Institute of Technology, Karlsruhe, Germany
dc.contributor.institutionEcole Normale Superieure de Cachan, Cachan, France
dc.contributor.institutionUniversity of Southampton, Southampton, United Kingdom
kaust.grant.numberKUK-C1-013-04


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