Order conditions for stochastic Runge–Kutta methods preserving quadratic invariants of Stratonovich SDEs
Journal article, Peer reviewed
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Date
2017Metadata
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- Institutt for matematiske fag [2603]
- Publikasjoner fra CRIStin - NTNU [39860]
Original version
Journal of Computational and Applied Mathematics. 2017, 316 40-46. 10.1016/j.cam.2016.08.042Abstract
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.