Simple third order operator-splitting schemes for stochastic mechanics and field theory (opens in new tab)

arXiv:2504.03844v2 Announce Type: replace-cross Abstract: We present a method for constructing numerical schemes with up to 3rd strong convergence order for solution of a class of stochastic differential equations, including equations of the Langevin type. The construction proceeds in two stages. In the first stage one approximates the stochastic equation by a differential equation with smooth coefficients randomly sampled at each time step. In the second stage the resulting regular equation ...