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Weak backward error analysis for stochastic Hamiltonian systems

dc.contributor.authorAnton, Cristina
dc.date.accessioned2021-07-09
dc.date.accessioned2022-05-31T01:44:08Z
dc.date.available2022-05-31T01:44:08Z
dc.date.issued2019
dc.description.abstractThis 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.
dc.description.urihttps://library.macewan.ca/cgi-bin/SFX/url.pl/BUM
dc.identifier.citationAnton, 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
dc.identifier.doihttps://doi.org/10.1007/s10543-019-00747-6
dc.identifier.urihttps://hdl.handle.net/20.500.14078/2378
dc.languageEnglish
dc.language.isoen
dc.rightsAll Rights Reserved
dc.subjectbackward error analysis
dc.subjectstochastic Hamiltonian systems
dc.subjectKolmogorov equation
dc.subjectweak symplectic scheme
dc.titleWeak backward error analysis for stochastic Hamiltonian systemsen
dc.typeArticle
dspace.entity.type

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