General order conditions for stochastic partitioned Runge-Kutta methods (Q1647653)
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| English | General order conditions for stochastic partitioned Runge-Kutta methods |
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General order conditions for stochastic partitioned Runge-Kutta methods (English)
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26 June 2018
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Using B-series and multicolored, multishaped rooted trees, an order theory for stochastic partitioned Runge-Kutta (SPRK) methods is developed. It is applicable to both Itô and Stratonovich stochastic differential equations (SDE) and can be helpful in the construction of SPRK methods for SDEs having a special structure. A couple of SDEs where special structure occurs are explored to demonstrate the practical use of the theory.
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stochastic differential equations
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stochastic partitioned Runge-Kutta methods
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stochastic B-series
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