A technique for studying strong and weak local errors of splitting stochastic integrators Articles uri icon

publication date

  • November 2016

start page

  • 3239

end page

  • 3257

issue

  • 6

volume

  • 54

International Standard Serial Number (ISSN)

  • 0036-1429

Electronic International Standard Serial Number (EISSN)

  • 1095-7170

abstract

  • We present a technique, based on so-called word series, to write down in a systematic way expansions of the strong and weak local errors of splitting algorithms for the integration of Stratonovich stochastic differential equations. Those expansions immediately lead to the corresponding order conditions. Word series are similar to, but simpler than, the B-series used to analyze Runge-Kutta and other one-step integrators. The suggested approach makes it unnecessary to use the Baker-Campbell-Hausdorff formula. As an application, we compare two splitting algorithms recently considered by Leimkuhler and Matthews to integrate the Langevin equations. The word series method clearly bears out reasons for the advantages of one algorithm over the other.

keywords

  • stochastic differential equations; splitting algorithms; langevin equations; word series; numerical-integration; formal series; order conditions; b-series; invariants; algebra