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

B-seriesRunge-Kutta methodssingle integrand SDEsstochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic models, generic numerical methods in probability and statistics (65C20) 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.

Review text

B-series are used to prove that deterministic Runge-Kutta methods of order \(p_d\) applied to the Stratonovich stochastic differential equation \[ dX=\lambda f(X)\,dt+\sigma f(X)\circ dW,\quad X(t_0)= x_0, \] where \(W(t)\) is a Wiener process, \(\lambda\in\{0, 1\}\), and \(\sigma\) is a constant, attain both mean-square and weak, convergence or order \(\left\lfloor{p_d\over 2}\right\rfloor\). Computational agreement with this result is demonstrated using error plots of numerical experiments for three examples.

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Cited in

(9)

• Stochastic B-series and order conditions for exponential integrators
• Continuous stage stochastic Runge-Kutta methods
• High order numerical integrators for single integrand Stratonovich SDEs
• The Magnus expansion for stochastic differential equations
• Order conditions for stochastic Runge-Kutta methods preserving quadratic invariants of Stratonovich SDEs
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