Weak backward error analysis for stochastic Hamiltonian systems

Anton, Cristina

Weak backward error analysis for stochastic Hamiltonian systems

Author

Anton, Cristina

Date

2019

Keywords

backward error analysis, stochastic Hamiltonian systems, Kolmogorov equation, weak symplectic scheme

Abstract (summary)

This paper presents a study of the approximation error corresponding to a symplectic scheme of weak order one for a stochastic autonomous Hamiltonian system. A backward error analysis is done at the level of the Kolmogorov equation associated with the initial stochastic Hamiltonian system. An expansion of the weak error and expansions of the ergodic averages and of the invariant measures associated with the numerical scheme are obtained in terms of powers of the discretization step size and the solutions of the modified Kolmogorov equation.

Publication Information

Anton, C. (2019). Weak backward error analysis for stochastic Hamiltonian Systems. BIT Numerical Mathematics, 59, 613–646. https://doi.org/10.1007/s10543-019-00747-6