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

Published inMathematics of Computation, vol. 89, no. 321, p. 169-202
Publication date2020
Abstract

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.

Keywords
  • Stochastic differential equations
  • Invariant measure
  • Ergodicity
  • Exotic
  • Aromatic trees
  • Order conditions
Research groups
Citation (ISO format)
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)
Identifiers
Journal ISSN1088-6842
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190downloads

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Creation01/10/2019 15:49:00
First validation01/10/2019 15:49:00
Update time15/03/2023 18:06:49
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