Related papers: Stochastic B-series and order conditions for expon…
In this article, we construct a representation formula for stochastic B-series evaluated in a B-series. This formula is used to give for the first time the order conditions of implicit Taylor methods in terms of rooted trees. Finally, as an…
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…
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 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…
This article presents and analyses an exponential integrator for the stochastic Manakov equation, a system arising in the study of pulse propagation in randomly birefringent optical fibers. We first prove that the strong order of the…
In the present paper, a stochastic Taylor expansion of some functional applied to the solution process of an It\^o or Stratonovich stochastic differential equation with a multi-dimensional driving Wiener process is given. Therefore, the…
The solution of a (stochastic) differential equation (SDE) can be locally approximated by a stochastic expansion, a linear combination of iterated integrals. Quantities of interest, like moments, can then be approximated with the expansion.…
A general class of stochastic Runge-Kutta methods for the weak approximation of It\^o and Stratonovich stochastic differential equations with a multi-dimensional Wiener process is introduced. Colored rooted trees are used to derive an…
This article presents explicit exponential integrators for stochastic Maxwell's equations driven by both multiplicative and additive noises. By utilizing the regularity estimate of the mild solution, we first prove that the strong order of…
The problem of the Taylor-Ito and Taylor-Stratonovich expansions of the Ito stochastic processes in a neighborhood of a fixed moment of time is considered. The classical forms of the Taylor-Ito and Taylor-Stratonovich expansions are…
We present a class of exponential integrators to compute solutions of the stochastic Schr\"odinger equation arising from the modeling of open quantum systems. In order to be able to implement the methods within the same framework as the…
In this paper a set of previous general results for the development of B--series for a broad class of stochastic differential equations has been collected. The applicability of these results is demonstrated by the derivation of B--series…
In this paper, exploiting the regularities of the corresponding Kolmogorov equations involved we investigate strong convergence of exponential integrator scheme for a range of stochastic partial differential equations, in which the drift…
The concept of effective order is a popular methodology in the deterministic literature for the construction of efficient and accurate integrators for differential equations over long times. The idea is to enhance the accuracy of a…
The article is devoted to the expansions of iterated Stratonovich stochastic integrals on the basis of the method of generalized multiple Fourier series that converge in the sense of norm in Hilbert space $L_2([t, T]^k),$ $k\in\mathbb{N}.$…
Stochastic differential equations and the associated partial differential equations are the cornerstone formalism in stochastic control problems. The universality of bilinear stochastic systems can be found in autonomous systems, non-linear…
The book is devoted to the strong approximation of iterated stochastic integrals (ISIs) in the context of numerical integration of Ito SDEs and non-commutative semilinear SPDEs with nonlinear multiplicative trace class noise. The monograph…
Stochastic Taylor expansions of the expectation of functionals applied to diffusion processes which are solutions of stochastic differential equation systems are introduced. Taylor formulas w.r.t. increments of the time are presented for…
The solution of a (stochastic) differential equation can be locally approximated by a (stochastic) expansion. If the vector field of the differential equation is a polynomial, the corresponding expansion is a linear combination of iterated…
The article is devoted to construction of effective procedures of the mean-square approximation for iterated Stratonovich stochastic integrals of multiplicities 1 to 5. We apply the method of generalized multiple Fourier series for…