General order conditions for stochastic partitioned Runge-Kutta methods

DOI10.1007/S10543-017-0693-6MaRDI QIDQ1647653zbMATH OpenOpenAlexFDO

Authors Sverre Anmarkrud, Kristian Debrabant, Anne Kværnø

Publication date 26 June 2018

Published in BIT (Search for Journal in Brave)

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

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)

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.

Recommendations

• Order conditions of stochastic Runge--Kutta methods by B-series
• General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems
• Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
• scientific article; zbMATH DE number 2204840
• Stochastic B-series and order conditions for exponential integrators

Cites work

• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 2114382 (Why is no real title available?)
• scientific article; zbMATH DE number 775661 (Why is no real title available?)
• A stochastic version of the jansen and rit neural mass model: analysis and numerics
• Accurate Stationary Densities with Partitioned Numerical Methods for Stochastic Differential Equations
• B–Series Analysis of Stochastic Runge–Kutta Methods That Use an Iterative Scheme to Compute Their Internal Stage Values
• Coefficients for the study of Runge-Kutta integration processes
• Construction of symplectic Runge-Kutta methods for stochastic Hamiltonian systems
• Geometric Numerical Integration
• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
• Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family
• Numerical Methods for Stochastic Systems Preserving Symplectic Structure
• Order Conditions for Canonical Runge–Kutta Schemes
• Order conditions for stochastic Runge-Kutta methods preserving quadratic invariants of Stratonovich SDEs
• Order conditions of stochastic Runge--Kutta methods by B-series
• Partitioned Runge-Kutta Methods for Separable Hamiltonian Problems
• Preservation of quadratic invariants of stochastic differential equations via Runge-Kutta methods
• Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
• Rooted tree analysis of the order conditions of row-type scheme for stochastic differential equations
• Stochastic Taylor Expansions for the Expectation of Functionals of Diffusion Processes
• Stochastic Taylor Expansions: Weight Functions of B-Series Expressed as Multiple Integrals
• Stochastic differential equations. An introduction with applications.
• Stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise
• Symplectic Integration of Hamiltonian Systems with Additive Noise
• Symplectic conditions and stochastic generating functions of stochastic Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise
• Variational principles for stochastic soliton dynamics

Cited in

(6)

• Order conditions for partitioned Runge-Kutta methods.
• High-order stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with additive noise
• 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
• Nonlinear stability issues for stochastic Runge-Kutta methods
• Order conditions of stochastic Runge--Kutta methods by B-series

This page was built for publication: General order conditions for stochastic partitioned Runge-Kutta methods

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1647653)