Order conditions for stochastic Runge–Kutta methods preserving quadratic invariants of Stratonovich SDEs
Journal article, Peer reviewed
Accepted version
Åpne
Permanent lenke
http://hdl.handle.net/11250/2476107Utgivelsesdato
2017Metadata
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- Institutt for matematiske fag [2530]
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Originalversjon
Journal of Computational and Applied Mathematics. 2017, 316 40-46. 10.1016/j.cam.2016.08.042Sammendrag
In this paper we prove that for a stochastic Runge–Kutta method, the conditions for preserving quadratic invariants work as simplifying assumptions. For such methods, the method coefficients only have to satisfy one condition for each unrooted tree. This is a generalization of the result obtained for deterministic Runge–Kutta methods by Sanz-Serna and Abia in 1991.