Stochastic B-series and order conditions for exponential integrators

DOI10.1007/978-3-319-96415-7_37zbMATH Open1431.65106arXiv1801.02051OpenAlexW2783978398MaRDI QIDQ2008706FDOQ2008706

Authors: Alemayehu Adugna Arara, Kristian Debrabant, Anne Kværnø 

Publication date: 26 November 2019

Abstract: We discuss stochastic differential equations with a stiff linear part and their approximation by stochastic exponential integrators. Representing the exact and approximate solutions using B-series and rooted trees, we derive the order conditions for stochastic exponential integrators. The resulting general order theory covers both It^{o} and Stratonovich integration.

Full work available at URL: https://arxiv.org/abs/1801.02051

Recommendations

• Exponential B-Series: The Stiff Case
• Cheap arbitrary high order methods for single integrand SDEs
• Order conditions of stochastic Runge--Kutta methods by B-series
• Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
• B-series and Order Conditions for Exponential Integrators

zbMATH Keywords

stochastic differential equations[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=It%EF%BF%BD%EF%BF%BD-Stratonovich+integration&go=Go It��-Stratonovich integration]Runge-Kutta integrators

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for stiff equations (65L04) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

Cited In (9)

• A new class of structure-preserving stochastic exponential Runge-Kutta integrators for stochastic differential equations
• Runge-Kutta Lawson schemes for stochastic differential equations
• B-series for SDEs with application to exponential integrators for non-autonomous semi-linear problems
• Exponential B-Series: The Stiff Case
• Stochastic Taylor Expansions: Weight Functions of B-Series Expressed as Multiple Integrals
• B-series and Order Conditions for Exponential Integrators
• Order conditions of stochastic Runge--Kutta methods by B-series
• Composition of stochastic B-series with applications to implicit Taylor methods
• Structure-preserving stochastic conformal exponential integrator for linearly damped stochastic differential equations

This page was built for publication: Stochastic B-series and order conditions for exponential integrators

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2008706)