@Article{IJNAMB-4-80,
author = {CRISTINA A. ANTON, YAUSHU WONG, AND JIAN DENG},
title = {On Global Error of Symplectic Schemes for Stochastic Hamiltonian Systems},
journal = {International Journal of Numerical Analysis Modeling Series B},
year = {2013},
volume = {4},
number = {1},
pages = {80--93},
abstract = {We investigate a first order weak symplectic numerical scheme for stochastic Hamiltonian systems. Given the solution (X_t) and a class of functions f, we derive the expansion of
the global approximation error for the computed E(f(X_t)) in powers of the discretization step
size. The present study is an extension of the results obtained by Talay and Tubaro for the explicit 
Euler scheme. Based on the derived global error expansion, we construct an extrapolation
method of the weak second order. The performance of the extrapolation method is demonstrated
numerically for a model simulating oscillations of the particles in storage rings.},
issn = {},
doi = {https://doi.org/},
url = {http://global-sci.org/intro/article_detail/ijnamb/247.html}
}