Cheap arbitrary high order methods for single integrand SDEs

DOI10.1007/S10543-016-0619-8MaRDI QIDQ512852zbMATH OpenOpenAlexFDO

Authors Kristian Debrabant, Anne Kværnø

Publication date 2 March 2017

Published in BIT (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1512.07342

zbMATH Keywords

stochastic differential equationB-seriesRunge-Kutta methodssingle integrand SDEs

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) 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) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

Abstract: For a particular class of Stratonovich SDE problems, here denoted as single integrand SDEs, we prove that by applying a deterministic Runge-Kutta method of order $p_d$ we obtain methods converging in the mean-square and weak sense with order $lfloor{p}_d/2floor$. The reason is that the B-series of the exact solution and numerical approximation are, due to the single integrand and the usual rules of calculus holding for Stratonovich integration, similar to the ODE case. The only difference is that integration with respect to time is replaced by integration with respect to the measure induced by the single integrand SDE.

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Cited in

(9)

• Arbitrary high-order EQUIP methods for stochastic canonical Hamiltonian systems
• High order numerical integrators for single integrand Stratonovich SDEs
• The Magnus expansion for stochastic differential equations
• High-order energy-preserving methods for stochastic Poisson systems
• Continuous stage stochastic Runge-Kutta methods
• B-series for SDEs with application to exponential integrators for non-autonomous semi-linear problems
• Order conditions for stochastic Runge-Kutta methods preserving quadratic invariants of Stratonovich SDEs
• An explicit order 2 scheme for the strong approximation of Stratonovich stochastic differential equations with scalar noise
• Stochastic B-series and order conditions for exponential integrators

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