Stochastic B-series and order conditions for exponential integrators
Journal article, Peer reviewed
Accepted version
View/ Open
Date
2019Metadata
Show full item recordCollections
- Institutt for matematiske fag [2354]
- Publikasjoner fra CRIStin - NTNU [37237]
Original version
Lecture Notes in Computational Science and Engineering. 2019, 126 419-427. 10.1007/978-3-319-96415-7_37Abstract
We discuss stochastic differential equations with a stiff linear part and their approximation by stochastic exponential Runge–Kutta integrators. Representing the exact and approximate solutions using B-series and rooted trees, we derive the order conditions for stochastic exponential Runge–Kutta integrators. The resulting general order theory covers both Itô and Stratonovich integration.