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arXiv · 1801.02051

Stochastic B-series and order conditions for exponential integrators

Alemayehu Adugna Arara·Kristian Debrabant·Anne Kværnø
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Abstract

We discuss stochastic differential equations with a stiff linear part and their approximation by stochastic exponential integrators. Representing the exact and approximate solutions using B-series and rooted trees, we derive the order conditions for stochastic exponential integrators. The resulting general order theory covers both Itô and Stratonovich integration.

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Alemayehu Adugna Arara, Kristian Debrabant, Anne Kværnø. 2018-01-06. Stochastic B-series and order conditions for exponential integrators. https://doi.org/10.1007/978-3-319-96415-7_37

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