Stochastic B-series and order conditions for exponential integrators

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

Authors Alemayehu Adugna Arara, Kristian Debrabant, Anne Kværnø 

Publication date 26 November 2019

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

zbMATH Keywords

stochastic differential equationsRunge-Kutta integratorsItô-Stratonovich integration

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)

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.

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Cited In (11)

• A new class of structure-preserving stochastic exponential Runge-Kutta integrators for stochastic differential equations
• Exotic aromatic B-series for the study of long time integrators for a class of ergodic SDEs
• 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
• General order conditions for stochastic partitioned Runge-Kutta methods

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