Stochastic B-series and order conditions for exponential integrators
Numerical Analysis
2019-07-18 v1
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 It\^{o} and Stratonovich integration.
Cite
@article{arxiv.1801.02051,
title = {Stochastic B-series and order conditions for exponential integrators},
author = {Alemayehu Adugna Arara and Kristian Debrabant and Anne Kværnø},
journal= {arXiv preprint arXiv:1801.02051},
year = {2019}
}