Exotic aromatic B-series for the long time integration of ergodic stochastic differential equations

Adrien Laurent (U of Bergen)

Nov 10. 2021, 14:15 — 14:40

We introduce a new algebraic framework based on aromatic trees and Butcher-series for the systematic study of the accuracy of numerical integrators for sampling the invariant measure of a class of ergodic stochastic differential equations in R^d or on manifolds. In
particular, these new B-series, called exotic aromatic B-series, allow us to write conveniently Talay-Tubaro expansions, to perform
integrations by parts against the invariant measure, and satisfy geometric and algebraic properties.

Further Information
ESI Boltzmann Lecture Hall
Associated Event:
Higher Structures Emerging from Renormalisation (Graduate School)
Pierre Clavier (U of Haut-Alsace)
Kurusch Ebrahimi-Fard (NTNU, Trondheim)
Peter K. Friz (TU Berlin)
Harald Grosse (U of Vienna)
Dominique Manchon (U Clerment Auvergne)
Sylvie Paycha (U of Potsdam)
Sylke Pfeiffer (U of Potsdam)