We show that applying any deterministic B-series method of order pd with a random step size to single integrand SDEs gives a numerical method converging in the mean-square and weak sense with order left perpendicular pd/2 right perpendicular. 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
AbstractIt is well known that the numerical solution of stiff stochastic ordinary differential equat...
It is well known that the numerical solution of stiff stochastic ordinary differential equations lea...
We perform a numerical analysis of a class of randomly perturbed Hamiltonian systems and Poisson sys...
We show that applying any deterministic B-series method of order pdwith a random step size to single...
International audienceA new class of energy-preserving numerical schemes for stochastic Hamiltonian ...
International audienceInspired by recent advances in the theory of modified differential equations, ...
In this paper, general order conditions and a global convergence proof are given for stochastic Rung...
We present a technique, based on so-called word series, to write down in a systematic way expansions...
Inspired by recent advances in the theory of modified differential equations, we propose a new metho...
Explicit stochastic Runge–Kutta (SRK) methods are constructed for non-commutative Itô and Stratonovi...
AbstractA class of explicit stochastic Runge–Kutta (SRK) methods for Stratonovich stochastic differe...
We consider the numerical approximation of stochastic differential and partial differential equatio...
Inspired by recent advances in the theory of modified differential equations, we propose a new metho...
Models based on SDEs have applications in many disciplines, but in pratical applications calculating...
International audienceWe introduce new sufficient conditions for a numerical method to approximate w...
AbstractIt is well known that the numerical solution of stiff stochastic ordinary differential equat...
It is well known that the numerical solution of stiff stochastic ordinary differential equations lea...
We perform a numerical analysis of a class of randomly perturbed Hamiltonian systems and Poisson sys...
We show that applying any deterministic B-series method of order pdwith a random step size to single...
International audienceA new class of energy-preserving numerical schemes for stochastic Hamiltonian ...
International audienceInspired by recent advances in the theory of modified differential equations, ...
In this paper, general order conditions and a global convergence proof are given for stochastic Rung...
We present a technique, based on so-called word series, to write down in a systematic way expansions...
Inspired by recent advances in the theory of modified differential equations, we propose a new metho...
Explicit stochastic Runge–Kutta (SRK) methods are constructed for non-commutative Itô and Stratonovi...
AbstractA class of explicit stochastic Runge–Kutta (SRK) methods for Stratonovich stochastic differe...
We consider the numerical approximation of stochastic differential and partial differential equatio...
Inspired by recent advances in the theory of modified differential equations, we propose a new metho...
Models based on SDEs have applications in many disciplines, but in pratical applications calculating...
International audienceWe introduce new sufficient conditions for a numerical method to approximate w...
AbstractIt is well known that the numerical solution of stiff stochastic ordinary differential equat...
It is well known that the numerical solution of stiff stochastic ordinary differential equations lea...
We perform a numerical analysis of a class of randomly perturbed Hamiltonian systems and Poisson sys...