General order conditions for stochastic partitioned Runge-Kutta methods

DOI10.1007/S10543-017-0693-6zbMATH Open1394.65005arXiv1703.02067OpenAlexW2949402014MaRDI QIDQ1647653FDOQ1647653

Kristian Debrabant, Sverre Anmarkrud, Anne Kværnø

Publication date: 26 June 2018

Published in: BIT (Search for Journal in Brave)

Abstract: In this paper stochastic partitioned Runge-Kutta (SPRK) methods are considered. A general order theory for SPRK methods based on stochastic B-series and multicolored, multishaped rooted trees is developed. The theory is applied to prove the order of some known methods, and it is shown how the number of order conditions can be reduced in some special cases, especially that the conditions for preserving quadratic invariants can be used as simplifying assumptions.

Full work available at URL: https://arxiv.org/abs/1703.02067

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zbMATH Keywords

stochastic differential equationsstochastic partitioned Runge-Kutta methodsstochastic B-series

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (5)

• B-series for SDEs with application to exponential integrators for non-autonomous semi-linear problems
• Nonlinear stability issues for stochastic Runge-Kutta methods
• Order conditions for partitioned Runge-Kutta methods.
• High-order stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with additive noise
• Order conditions of stochastic Runge--Kutta methods by B-series

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