Optimal stochastic Runge-Kutta methods for the weak integration of stochastic dynamics

Abstract: The difficulty of the creation of weak high order integrators for stochastic dynamics lies in the tedious calculations of order conditions. The original approaches focused on adapting strong approximations, mainly replacing the iterated stochastic integrals by random variables that have the same moments. The methods obtained this way are sub-optimal in their number of function evaluations.

In this talk, using a specific set of random Runge-Kutta coefficients, we greatly reduce the number of order conditions for weak second order integration of stochastic dynamics. The approach is successfully applied to the creation of a collection of new simple stochastic Runge-Kutta methods of weak order two with an optimal number of stages.

The contents of this talk are joint work with Anne Kværnø and Adrien Laurent.

numerical analysisoptimization and control

Audience: researchers in the topic

CAM seminar

Series comments: Online streaming via zoom on exceptional cases if requested. Please contact the organizers at the latest Monday 11:45.