High order numerical integrators for single integrand SDEs

David Cohen, Kristian Debrabant, Andreas Rößler

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 $\lfloor p_d/2\rfloor$. 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.

Knowledge Graph



Sign up or login to leave a comment