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Register a new userHigh order numerical integrators for single integrand Stratonovich SDEs
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Added by
Kristian Debrabant
Publication date
2020
fields
Informatics Engineering
and research's language is
English
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We show that applying any deterministic B-series method of order $p_d$ with a random step size to single integrand SDEs gives a numerical method converging in the mean-square and weak sense with order $lfloor p_d/2rfloor$.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.
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