B-series for SDEs with application to exponential integrators for non-autonomous semi-linear problems

Alemayehu Adugna Arara; Kristian Debrabant; Anne Kværnø

doi:10.48550/arXiv.2310.09179

B-series for SDEs with application to exponential integrators for non-autonomous semi-linear problems

Alemayehu Adugna Arara, Kristian Debrabant, Anne Kværnø^*

^*Kontaktforfatter

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

Abstract

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 for non-autonomous semi-linear SDEs and exponential Runge-Kutta methods applied to this class of SDEs, which is a significant generalization of existing theory on such methods.

Originalsprog	Engelsk
Tidsskrift	Journal of Computational Dynamics
Vol/bind	11
Udgave nummer	4
Sider (fra-til)	533-546
ISSN	2158-2491
DOI	https://doi.org/10.48550/arXiv.2310.09179 https://doi.org/10.3934/jcd.2024022
Status	Udgivet - okt. 2024

Dokumenter og links

https://arxiv.org/pdf/2310.09179

Citationsformater

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abstract = "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 for non-autonomous semi-linear SDEs and exponential Runge-Kutta methods applied to this class of SDEs, which is a significant generalization of existing theory on such methods.",

keywords = "Stochastic differential equations, composition of stochastic B—series, exponential integrators, stochastic B–series, stochastic rooted trees",

author = "Arara, {Alemayehu Adugna} and Kristian Debrabant and Anne Kv{\ae}rn{\o}",

year = "2024",

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AU - Arara, Alemayehu Adugna

AU - Debrabant, Kristian

AU - Kværnø, Anne

PY - 2024/10

Y1 - 2024/10

N2 - 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 for non-autonomous semi-linear SDEs and exponential Runge-Kutta methods applied to this class of SDEs, which is a significant generalization of existing theory on such methods.

AB - 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 for non-autonomous semi-linear SDEs and exponential Runge-Kutta methods applied to this class of SDEs, which is a significant generalization of existing theory on such methods.

KW - Stochastic differential equations

KW - composition of stochastic B—series

KW - exponential integrators

KW - stochastic B–series

KW - stochastic rooted trees

U2 - 10.48550/arXiv.2310.09179

DO - 10.48550/arXiv.2310.09179

M3 - Journal article

SN - 2158-2491

VL - 11

SP - 533

EP - 546

JO - Journal of Computational Dynamics

JF - Journal of Computational Dynamics

IS - 4

ER -

B-series for SDEs with application to exponential integrators for non-autonomous semi-linear problems

Abstract

Dokumenter og links

Fingeraftryk

Citationsformater