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• W2164042891 abstract "Inspired by recent advances in the theory of modified differential equations, we propose a new methodology for constructing numerical integrators with high weak order for the time integration of stochastic differential equations. This approach is illustrated with the constructions of new methods of weak order two, in particular, semi-implicit integrators well suited for stiff (mean-square stable) stochastic problems, and implicit integrators that exactly conserve all quadratic first integrals of a stochastic dynamical system. Numerical examples confirm the theoretical results and show the versatility of our methodology." @default.
• W2164042891 created "2016-06-24" @default.
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• W2164042891 date "2012-01-01" @default.
• W2164042891 modified "2023-10-18" @default.
• W2164042891 title "High Weak Order Methods for Stochastic Differential Equations Based on Modified Equations" @default.
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• W2164042891 doi "https://doi.org/10.1137/110846609" @default.
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