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Exotic aromatic B-series for the study of long time integrators for a class of ergodic SDEs

Contributeurs/tricesLaurent, Adrien; Vilmart, Gillesorcid
Publié dansMathematics of Computation, vol. 89, no. 321, p. 169-202
Date de publication2020
Résumé

We introduce a new algebraic framework based on a modification (called exotic) of aromatic Butcher-series for the systematic study of the accuracy of numerical integrators for the invariant measure of a class of ergodic stochastic differential equations (SDEs) with additive noise. The proposed analysis covers Runge–Kutta type schemes including the cases of partitioned methods and postprocessed methods. We also show that the introduced exotic aromatic B-series satisfy an isometric equivariance property.

Mots-clés
  • Stochastic differential equations
  • Invariant measure
  • Ergodicity
  • Exotic
  • Aromatic trees
  • Order conditions
Groupe de recherche
Citation (format ISO)
LAURENT, Adrien, VILMART, Gilles. Exotic aromatic B-series for the study of long time integrators for a class of ergodic SDEs. In: Mathematics of Computation, 2020, vol. 89, n° 321, p. 169–202. doi: 10.1090/mcom/3455
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Article (Accepted version)
Identifiants
ISSN du journal1088-6842
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Informations techniques

Création01/10/2019 15:49:00
Première validation01/10/2019 15:49:00
Heure de mise à jour15/03/2023 18:06:49
Changement de statut15/03/2023 18:06:48
Dernière indexation12/02/2024 13:05:32
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