Exotic aromatic B-series for the study of long time integrators for a class of ergodic SDE\MakeLowercase{s}
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- Math. Comp. 89 (2020), 169-202 Request permission
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.References
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Additional Information
- Adrien Laurent
- Affiliation: Ecole Normale Supérieure de Rennes and Université de Rennes 1, Campus de Ker Lann, avenue Robert Schumann, F-35170 Bruz, France
- Address at time of publication: Université de Genève, Section de mathématiques, 2-4 rue du Lièvre, CP 64, CH-1211 Genève 4, Switzerland
- Email: Adrien.Laurent@unige.ch
- Gilles Vilmart
- Affiliation: Université de Genève, Section de mathématiques, 2-4 rue du Lièvre, CP 64, CH-1211 Genève 4, Switzerland
- MR Author ID: 798890
- ORCID: 0000-0003-4593-1012
- Email: Gilles.Vilmart@unige.ch
- Received by editor(s): May 1, 2018
- Received by editor(s) in revised form: January 30, 2019
- Published electronically: June 24, 2019
- Additional Notes: This work was partially supported by the Swiss National Science Foundation, grants No. 200021_162404, 200020_178752 and 200020_144313/1
- © Copyright 2019 American Mathematical Society
- Journal: Math. Comp. 89 (2020), 169-202
- MSC (2010): Primary 60H35, 37M25, 65L06, 41A58
- DOI: https://doi.org/10.1090/mcom/3455
- MathSciNet review: 4011539