Order conditions for stochastic Runge–Kutta methods preserving quadratic invariants of Stratonovich SDEs
Journal article, Peer reviewed
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Original versionJournal of Computational and Applied Mathematics. 2017, 316 40-46. 10.1016/j.cam.2016.08.042
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.