Blar i NTNU Open på forfatter "Anmarkrud, Sverre"
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General order conditions for stochastic partitioned Runge–Kutta methods
Anmarkrud, Sverre; Debrabant, Kristian; Kværnø, Anne (Journal article; Peer reviewed, 2017)In this paper stochastic partitioned Runge–Kutta (SPRK) methods are considered. A general order theory for SPRK methods based on stochastic B-series and multicolored, multishaped rooted trees is developed. The theory is ... -
Order conditions for stochastic Runge–Kutta methods preserving quadratic invariants of Stratonovich SDEs
Anmarkrud, Sverre; Kværnø, Anne (Journal article; Peer reviewed, 2017)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 ... -
Quadratic Invariant-Preserving Runge-Kutta Methods for the Numerical Solution of Stochastic Differential Equations
Anmarkrud, Sverre (Master thesis, 2015)In this paper we consider stochastic Runge-Kutta methods and expand some results from the deterministic theory of invariants to a stochastic setting. Specifically we find the necessary conditions for conservation of quadratic ...