We show that applying any deterministic B-series method of order pdwith a random step size to single integrand SDEs gives a numerical method converging in the mean-square and weak sense with order [Pd/2]. 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
In this paper we prove that for a stochastic Runge–Kutta method, the conditions for preserving quadr...
International audienceInspired by recent advances in the theory of modified differential equations, ...
We introduce new sufficient conditions for a numerical method to approximate with high order of accu...
We show that applying any deterministic B-series method of order pdwith a random step size to single...
In this paper, general order conditions and a global convergence proof are given for stochastic Rung...
Inspired by recent advances in the theory of modified differential equations, we propose a new metho...
We perform a numerical analysis of a class of randomly perturbed Hamiltonian systems and Poisson sys...
In Burrage and Burrage [1] it was shown that by introducing a very general formulation for stochasti...
AbstractIt is well known that the numerical solution of stiff stochastic ordinary differential equat...
We discuss stochastic differential equations with a stiff linear part and their approximation by sto...
International audienceA new class of energy-preserving numerical schemes for stochastic Hamiltonian ...
We study stochastic Poisson integrators for a class of stochastic Poisson systems driven by Stratono...
In many modeling situations in which parameter values can only be estimated or are subject to noise,...
We consider a general class of high order weak approximation schemes for stochastic differential equ...
A new explicit stabilized scheme of weak order one for stiff and ergodic stochastic differential equ...
In this paper we prove that for a stochastic Runge–Kutta method, the conditions for preserving quadr...
International audienceInspired by recent advances in the theory of modified differential equations, ...
We introduce new sufficient conditions for a numerical method to approximate with high order of accu...
We show that applying any deterministic B-series method of order pdwith a random step size to single...
In this paper, general order conditions and a global convergence proof are given for stochastic Rung...
Inspired by recent advances in the theory of modified differential equations, we propose a new metho...
We perform a numerical analysis of a class of randomly perturbed Hamiltonian systems and Poisson sys...
In Burrage and Burrage [1] it was shown that by introducing a very general formulation for stochasti...
AbstractIt is well known that the numerical solution of stiff stochastic ordinary differential equat...
We discuss stochastic differential equations with a stiff linear part and their approximation by sto...
International audienceA new class of energy-preserving numerical schemes for stochastic Hamiltonian ...
We study stochastic Poisson integrators for a class of stochastic Poisson systems driven by Stratono...
In many modeling situations in which parameter values can only be estimated or are subject to noise,...
We consider a general class of high order weak approximation schemes for stochastic differential equ...
A new explicit stabilized scheme of weak order one for stiff and ergodic stochastic differential equ...
In this paper we prove that for a stochastic Runge–Kutta method, the conditions for preserving quadr...
International audienceInspired by recent advances in the theory of modified differential equations, ...
We introduce new sufficient conditions for a numerical method to approximate with high order of accu...