High Order Numerical Approximation of the Invariant Measure of Ergodic SDEs

@article{Abdulle2014HighON,
  title={High Order Numerical Approximation of the Invariant Measure of Ergodic SDEs},
  author={Assyr Abdulle and Gilles Vilmart and Konstantinos C. Zygalakis},
  journal={SIAM J. Numerical Analysis},
  year={2014},
  volume={52},
  pages={1600-1622}
}
We introduce new sufficient conditions for a numerical method to approximate with high order of accuracy the invariant measure of an ergodic system of stochastic differential equations, independently of the weak order of accuracy of the method. We then present a systematic procedure based on the framework of modified differential equations for the… CONTINUE READING