High order numerical integrators for single integrand Stratonovich SDEs

preprint2020arXivOpen access

Abstract

We show that applying any deterministic B-series method of order pdp_d with a random step size to single integrand SDEs gives a numerical method converging in the mean-square and weak sense with order ⌊pd/2⌋\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.

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