High Order Numerical Approximation of the Invariant Measure of Ergodic SDEs
نویسندگان
چکیده
منابع مشابه
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 cap...
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ژورنال
عنوان ژورنال: SIAM Journal on Numerical Analysis
سال: 2014
ISSN: 0036-1429,1095-7170
DOI: 10.1137/130935616