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Article Dans Une Revue Mathematics of Computation Année : 2020

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

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.
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hal-04347647 , version 1 (15-12-2023)

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Adrien Laurent, Gilles Vilmart. Exotic aromatic B-series for the study of long time integrators for a class of ergodic SDEs. Mathematics of Computation, 2020, 89 (321), pp.169-202. ⟨10.1090/mcom/3455⟩. ⟨hal-04347647⟩
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