High order numerical approximation of the invariant measure of ergodic SDEs

We introduce new sufficient conditions for a numerical method to approximate with high order of accuracy the invariant measure of an ergodic system of stochastic differential equations, independently of the weak order of accuracy of the method. We then present a systematic procedure based on the framework of modified differential equations for the construction of stochastic integrators that capture the invariant measure of a wide class of ergodic SDEs (Brownian and Langevin dynamics) with an accuracy independent of the weak order of the underlying method. Numerical experiments confirm our theoretical findings


Publié dans:
Siam Journal on Numerical Analysis, 52, 4, 1600-1622
Année
2014
Publisher:
Philadelphia, Society for Industrial and Applied Mathematics
ISSN:
0036-1429
Mots-clefs:
Laboratoires:




 Notice créée le 2013-09-27, modifiée le 2018-03-17

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