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dc.contributor.authorÁlamo Zapatero, Alfonso
dc.contributor.authorSanz Serna, Jesús María
dc.date.accessioned2018-03-01T12:36:44Z
dc.date.available2018-03-01T12:36:44Z
dc.date.issued2016
dc.identifier.citationSIAM J. Numer. Anal. 54-6 (2016), pp. 3239-3257es
dc.identifier.issn0036-1429es
dc.identifier.urihttp://uvadoc.uva.es/handle/10324/28859
dc.description.abstractWe 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.es
dc.format.mimetypeapplication/pdfes
dc.language.isoenges
dc.publisherSociety for Industrial and Applied Mathematicses
dc.rights.accessRightsinfo:eu-repo/semantics/openAccesses
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.titleA technique for studying strong and weak local errors of splitting stochastic integratorses
dc.typeinfo:eu-repo/semantics/articlees
dc.identifier.doihttps://doi.org/10.1137/16M1058765es
dc.relation.publisherversionhttp://epubs.siam.org/doi/abs/10.1137/16M1058765es
dc.peerreviewedSIes
dc.description.projectMinisterio de Economía, Industria y Competitividad (Project MTM2013-46553-C3-1-P).es
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International


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