Stochastic B-series and order conditions for exponential integrators

DOI10.1007/978-3-319-96415-7_37zbMath1431.65106arXiv1801.02051OpenAlexW2783978398MaRDI QIDQ2008706

Alemayehu Adugna Arara, Anne Kværnø, Kristian Debrabant

Publication date: 26 November 2019

Full work available at URL: https://arxiv.org/abs/1801.02051

zbMATH Keywords

stochastic differential equationsItô-Stratonovich integrationRunge-Kutta integrators

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for stiff equations (65L04)

Related Items (3)

Structure-preserving stochastic conformal exponential integrator for linearly damped stochastic differential equations ⋮ Runge-Kutta Lawson schemes for stochastic differential equations ⋮ A new class of structure-preserving stochastic exponential Runge-Kutta integrators for stochastic differential equations

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