General order conditions for stochastic partitioned Runge-Kutta methods (Q1647653)

From MaRDI portal
scientific article
Language Label Description Also known as
English
General order conditions for stochastic partitioned Runge-Kutta methods
scientific article

    Statements

    General order conditions for stochastic partitioned Runge-Kutta methods (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    26 June 2018
    0 references
    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.
    0 references
    0 references
    stochastic differential equations
    0 references
    stochastic partitioned Runge-Kutta methods
    0 references
    stochastic B-series
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references