Hopf algebra structures for the backward error analysis of ergodic stochastic differential equations
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arXiv
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| _version_ | 1866911950963736576 |
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| author | Bronasco, Eugen Laurent, Adrien |
| author_facet | Bronasco, Eugen Laurent, Adrien |
| contents | While backward error analysis does not generalise straightforwardly to the strong and weak approximation of stochastic differential equations, it extends for the sampling of ergodic dynamics. The calculation of the modified equation relies on tedious calculations and there is no expression of the modified vector field, in opposition to the deterministic setting. We uncover in this paper the Hopf algebra structures associated to the laws of composition and substitution of exotic aromatic S-series, relying on the new idea of clumping. We use these algebraic structures to provide the algebraic foundations of stochastic numerical analysis with S-series, as well as an explicit expression of the modified vector field as an exotic aromatic B-series. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_07451 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Hopf algebra structures for the backward error analysis of ergodic stochastic differential equations Bronasco, Eugen Laurent, Adrien Numerical Analysis Probability Rings and Algebras 16T05, 41A58, 60H35, 37M25, 65L06, 70H45 While backward error analysis does not generalise straightforwardly to the strong and weak approximation of stochastic differential equations, it extends for the sampling of ergodic dynamics. The calculation of the modified equation relies on tedious calculations and there is no expression of the modified vector field, in opposition to the deterministic setting. We uncover in this paper the Hopf algebra structures associated to the laws of composition and substitution of exotic aromatic S-series, relying on the new idea of clumping. We use these algebraic structures to provide the algebraic foundations of stochastic numerical analysis with S-series, as well as an explicit expression of the modified vector field as an exotic aromatic B-series. |
| title | Hopf algebra structures for the backward error analysis of ergodic stochastic differential equations |
| topic | Numerical Analysis Probability Rings and Algebras 16T05, 41A58, 60H35, 37M25, 65L06, 70H45 |
| url | https://arxiv.org/abs/2407.07451 |