Related papers: A technique for studying strong and weak local err…
We present an analysis based on word combinatorics of splitting integrators for Ito or Stratonovich systems of stochastic differential equations. In particular we present a technique to write down systematically the expansion of the local…
We study word series and extended word series, classes of formal series for the analysis of some dynamical systems and their discretizations. These series are similar to but more compact than B-series. They may be composed among themselves…
This paper provides a brief history of B-series and the associated Butcher group and presents the new theory of word series and extended word series. B-series (Hairer and Wanner 1976) are formal series of functions parameterized by rooted…
Splitting methods are widely used for solving initial value problems (IVPs) due to their ability to simplify complicated evolutions into more manageable subproblems which can be solved efficiently and accurately. Traditionally, these…
We propose a splitting algorithm for solving a system of composite monotone inclusions formulated in the form of the extended set of solutions in real Hilbert spaces. The resluting algorithm is a an extension of the algorithm in [4]. The…
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…
We show how to use extended word series in the reduction of continuous and discrete dynamical systems to normal form and in the computation of formal invariants of motion in Hamiltonian systems. The manipulations required involve complex…
In this paper, the concept of matrix splitting is introduced to solve a large sparse ill-posed linear system via Tikhonov's regularization. In the regularization process, we convert the ill-posed system to a well-posed system. The…
We show that applying any deterministic B-series method of order $p_d$ with a random step size to single integrand SDEs gives a numerical method converging in the mean-square and weak sense with order $\lfloor p_d/2\rfloor$.As an…
A typical procedure to integrate numerically the time dependent Schr\"o\-din\-ger equation involves two stages. In the first one carries out a space discretization of the continuous problem. This results in the linear system of differential…
Without prior knowledge, distinguishing different languages may be a hard task, especially when their borders are permeable. We develop an extension of spectral clustering -- a powerful unsupervised classification toolbox -- that is shown…
For stochastic implicit Taylor methods that use an iterative scheme to compute their numerical solution, stochastic B--series and corresponding growth functions are constructed. From these, convergence results based on the order of the…
The article is devoted to the construction of explicit one-step numerical methods with the strong orders of convergence 2.0, 2,5, and 3.0 for Ito stochastic differential equations with multidimensional non-commutative noise. We consider the…
Butcher series are combinatorial devices used in the study of numerical methods for differential equations evolving on vector spaces. More precisely, they are formal series developments of differential operators indexed over rooted trees,…
The article is devoted to the construction of explicit one-step strong numerical methods with the orders 2.0 and 2.5 of convergence for Ito stochastic differential equations with multidimensional non-commutative noise. We consider the…
Convenient, easy to implement stochastic integration methods are developed on the basis of abstract one-step deterministic order $p$ integration techniques. The abstraction as an arbitrary one step map allows the inspection of easy to…
This paper discusses an efficient implementation of the generation of order conditions for the construction of exponential integrators like exponential splitting and Magnus-type methods in the computer algebra system Maple. At the core of…
The stochastic properties of a Langevin-type Markov process can be extracted from a given time series by a Markov analysis. Also processes that obey a stochastically forced second order differential equation can be analyzed this way by…
An algorithm for the evaluation of the complex exponential function is proposed which is quasi-linear in time and linear in space. This algorithm is based on a modified binary splitting method for the hypergeometric series and a modified…
We present a practical algorithm based on symplectic splitting methods to integrate numerically in time the Schr\"odinger equation. When discretized in space, the Schr\"odinger equation can be recast as a classical Hamiltonian system…