Composition of stochastic B-series with applications to implicit Taylor methods
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Publication:623272
DOI10.1016/J.APNUM.2010.11.014zbMATH Open1208.65014arXiv1003.4397OpenAlexW2023863612MaRDI QIDQ623272FDOQ623272
Authors: Kristian Debrabant, Anne Kværnø 
Publication date: 14 February 2011
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Abstract: In this article, we construct a representation formula for stochastic B-series evaluated in a B-series. This formula is used to give for the first time the order conditions of implicit Taylor methods in terms of rooted trees. Finally, as an example we apply these order conditions to derive in a simple manner a family of strong order 1.5 Taylor methods applicable to It^o SDEs.
Full work available at URL: https://arxiv.org/abs/1003.4397
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Cites Work
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Cited In (7)
- Exotic aromatic B-series for the study of long time integrators for a class of ergodic SDEs
- High order numerical integrators for single integrand Stratonovich SDEs
- B-series for SDEs with application to exponential integrators for non-autonomous semi-linear problems
- Stochastic Taylor Expansions: Weight Functions of B-Series Expressed as Multiple Integrals
- Order conditions for sampling the invariant measure of ergodic stochastic differential equations on manifolds
- Stochastic Runge-Kutta Rosenbrock type methods for SDE systems
- B-series analysis of iterated Taylor methods
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