Composition of stochastic B-series with applications to implicit Taylor methods

DOI10.1016/J.APNUM.2010.11.014MaRDI QIDQ623272zbMATH OpenOpenAlexFDO

Authors Kristian Debrabant, Anne Kværnø

Publication date 14 February 2011

Published in Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1003.4397

zbMATH Keywords

stochastic differential equationstrong approximationnumerical exampleweak approximationorder conditionsrooted treesstochastic B-seriesstochastic Taylor method

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

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.

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Cites work

• A survey of numerical methods for stochastic differential equations
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• Geometric Numerical Integration
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• Implicit Taylor methods for stiff stochastic differential equations
• Implicit stochastic Runge-Kutta methods for stochastic differential equations
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• 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
• Stratonovich and Ito Stochastic Taylor Expansions

Cited in

(7)

• Order conditions for sampling the invariant measure of ergodic stochastic differential equations on manifolds
• Exotic aromatic B-series for the study of long time integrators for a class of ergodic SDEs
• Stochastic Taylor Expansions: Weight Functions of B-Series Expressed as Multiple Integrals
• High order numerical integrators for single integrand Stratonovich SDEs
• B-series for SDEs with application to exponential integrators for non-autonomous semi-linear problems
• B-series analysis of iterated Taylor methods
• Stochastic Runge-Kutta Rosenbrock type methods for SDE systems

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