Word combinatorics for stochastic differential equations: splitting integrators

Abstract: We present an analysis based on word combinatorics of splitting integrators for Ito or Stratonovich systems of stochastic differential equations. In particular we present a technique to write down systematically the expansion of the local error; this makes it possible to easily formulate the conditions that guarantee that a given integrator achieves a prescribed strong or weak order. This approach bypasses the need to use the Baker-Campbell-Hausdorff (BCH) formula and shows the existence of an order barrier of two for the attainable weak order. The paper also provides a succinct introduction to the combinatorics of words.

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The authors start by considering stochastic Taylor expansions for Stratonovich or Itô systems of stochastic differential equations under the lens of the combiatorics of formal word series. In other words, the solution of such a system is expanded as a series indexed by words over a certain alphabet, and the terms correspond to iterated Stratonovich or Itô integrals multiplied by a certain differential operator induced by the driving vector fields. This kind of expansion should be compared with the standard B-Series expansion, classical in numerical analysis of ODE. These expansions are then used to analyse the local error of splitting integrators of various types. The authors then derive strong and weak order conditions on the coefficients of the integrators by making use of the algebraic properties of iterated Stratonovich and Itô integrals in relation to the shuffle and quasi-shuffle products, respectively.

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