B-series analysis of iterated Taylor methods

DOI10.1007/S10543-011-0312-XMaRDI QIDQ639959zbMATH OpenOpenAlexFDO

Authors Kristian Debrabant, Anne Kværnø

Publication date 11 October 2011

Published in BIT (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1003.4398

zbMATH Keywords

convergencegrowth functioniterative schemeIto and Stratonovich SDEsNewton's methodnumerical experimentsstochastic B-seriesstochastic differential equationstochastic Taylor methodstrong approximationweak approximation

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Abstract: For stochastic implicit Taylor methods that use an iterative scheme to compute their numerical solution, stochastic B--series and corresponding growth functions are constructed. From these, convergence results based on the order of the underlying Taylor method, the choice of the iteration method, the predictor and the number of iterations, for It^o and Stratonovich SDEs, and for weak as well as strong convergence are derived. As special case, also the application of Taylor methods to ODEs is considered. The theory is supported by numerical experiments.

Review text

The authors construct stochastic B-series and corresponding growth functions for stochastic implicit Taylor methods that use an iterative scheme for solving stochastic differential equations (SDEs) numerically. They give convergence results based on the order of the underlying Taylor method, the choice of the iteration method, the predictor, and the number of iterations, for Ito and Stratonovich SDEs, and for weak as well as strong convergence, and investigate an application of Taylor methods to ordinary differential equations. Numerical experiments in the paper match the theoretical results.

Recommendations

• Composition of stochastic B-series with applications to implicit Taylor methods
• B–Series Analysis of Stochastic Runge–Kutta Methods That Use an Iterative Scheme to Compute Their Internal Stage Values
• scientific article; zbMATH DE number 54145
• Implicit Taylor methods for stiff stochastic differential equations
• scientific article; zbMATH DE number 852353

Cites work

• An Algebraic Theory of Integration Methods
• An analysis of the order of Runge-Kutta methods that use an iterative scheme to compute their internal stage values
• B–Series Analysis of Stochastic Runge–Kutta Methods That Use an Iterative Scheme to Compute Their Internal Stage Values
• Composition of stochastic B-series with applications to implicit Taylor methods
• Geometric Numerical Integration
• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
• High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• Implicit stochastic Runge-Kutta methods for stochastic differential equations
• Implicit Taylor methods for stiff stochastic differential equations
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• On the Butcher group and general multi-value methods
• Order conditions of stochastic Runge--Kutta methods by B-series
• Performance of the Taylor series method for ODEs/DAEs
• Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
• Stochastic Taylor Expansions: Weight Functions of B-Series Expressed as Multiple Integrals
• The use of Butcher series in the analysis of Newton-like iterations in Runge-Kutta formulas

Cited in

(8)

• On the MS-stability of predictor-corrector schemes for stochastic differential equations
• High order numerical integrators for single integrand Stratonovich SDEs
• scientific article; zbMATH DE number 5778212 (Why is no real title available?)
• A micro-macro acceleration method for the Monte Carlo simulation of stochastic differential equations
• Stochastic Runge-Kutta Rosenbrock type methods for SDE systems
• Iterative methods for nonlinear systems associated with finite difference approach in stochastic differential equations
• Composition of stochastic B-series with applications to implicit Taylor methods
• B-series for SDEs with application to exponential integrators for non-autonomous semi-linear problems

This page was built for publication: B-series analysis of iterated Taylor methods

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q639959)