Stochastic B-series and order conditions for exponential integrators
Journal article, Peer reviewed
Accepted version
Åpne
Permanent lenke
http://hdl.handle.net/11250/2593051Utgivelsesdato
2019Metadata
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- Institutt for matematiske fag [2569]
- Publikasjoner fra CRIStin - NTNU [38881]
Originalversjon
Lecture Notes in Computational Science and Engineering. 2019, 126 419-427. 10.1007/978-3-319-96415-7_37Sammendrag
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.