Stochastic B-series and order conditions for exponential integrators

Alemayehu Adugna Arara; Kristian Debrabant; Anne Kværnø

doi:10.1007/978-3-319-96415-7_37

Stochastic B-series and order conditions for exponential integrators

Alemayehu Adugna Arara, Kristian Debrabant, Anne Kværnø

Institut for Matematik og Datalogi

Publikation: Kapitel i bog/rapport/konference-proceeding › Konferencebidrag i proceedings › Forskning › peer review

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Abstract

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

Originalsprog	Engelsk
Titel	Numerical Mathematics and Advanced Applications : ENUMATH 2017
Redaktører	Florin Adrian Radu, Kundan Kumar, Inga Berre, Jan Martin Nordbotten, Iuliu Sorin Pop
Forlag	Springer
Publikationsdato	5. jan. 2019
Sider	419-427
ISBN (Trykt)	978-3-319-96414-0
ISBN (Elektronisk)	978-3-319-96415-7
DOI	https://doi.org/10.1007/978-3-319-96415-7_37
Status	Udgivet - 5. jan. 2019
Begivenhed	European Conference on Numerical Mathematics and Advanced Applications - University of Bergen, Voss, Norge Varighed: 25. sep. 2017 → 29. sep. 2017 http://www.uib.no/en/enumath2017

Konference

Konference	European Conference on Numerical Mathematics and Advanced Applications
Lokation	University of Bergen
Land/Område	Norge
By	Voss
Periode	25/09/2017 → 29/09/2017
Internetadresse	http://www.uib.no/en/enumath2017

Navn	Lecture Notes in Computational Science and Engineering
Vol/bind	126
ISSN	1439-7358

Emneord

math.NA
65C30

Dokumenter og links

10.1007/978-3-319-96415-7_37

Stochastic B-series and order conditions for exponential integratorsIndsendt manuskript, 874 KB

https://arxiv.org/pdf/1801.02051.pdf

Citationsformater

Arara, A. A., Debrabant, K., & Kværnø, A. (2019). Stochastic B-series and order conditions for exponential integrators. I F. A. Radu, K. Kumar, I. Berre, J. M. Nordbotten, & I. S. Pop (red.), Numerical Mathematics and Advanced Applications: ENUMATH 2017 (s. 419-427). Springer. Lecture Notes in Computational Science and Engineering Bind 126 https://doi.org/10.1007/978-3-319-96415-7_37

Arara, Alemayehu Adugna ; Debrabant, Kristian ; Kværnø, Anne. / Stochastic B-series and order conditions for exponential integrators. Numerical Mathematics and Advanced Applications: ENUMATH 2017. red. / Florin Adrian Radu ; Kundan Kumar ; Inga Berre ; Jan Martin Nordbotten ; Iuliu Sorin Pop. Springer, 2019. s. 419-427 (Lecture Notes in Computational Science and Engineering, Bind 126).

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abstract = "We discuss stochastic differential equations with a stiff linear part and their approximation by stochastic exponential Runge–Kutta integrators. Representing the exact and approximate solutions using B-series and rooted trees, we derive the order conditions for stochastic exponential Runge–Kutta integrators. The resulting general order theory covers both It{\^o} and Stratonovich integration.",

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Arara, AA, Debrabant, K & Kværnø, A 2019, Stochastic B-series and order conditions for exponential integrators. i FA Radu, K Kumar, I Berre, JM Nordbotten & IS Pop (red), Numerical Mathematics and Advanced Applications: ENUMATH 2017. Springer, Lecture Notes in Computational Science and Engineering, bind 126, s. 419-427, European Conference on Numerical Mathematics and Advanced Applications, Voss, Norge, 25/09/2017. https://doi.org/10.1007/978-3-319-96415-7_37

Stochastic B-series and order conditions for exponential integrators. / Arara, Alemayehu Adugna; Debrabant, Kristian; Kværnø, Anne.

Numerical Mathematics and Advanced Applications: ENUMATH 2017. red. / Florin Adrian Radu; Kundan Kumar; Inga Berre; Jan Martin Nordbotten; Iuliu Sorin Pop. Springer, 2019. s. 419-427 (Lecture Notes in Computational Science and Engineering, Bind 126).

Publikation: Kapitel i bog/rapport/konference-proceeding › Konferencebidrag i proceedings › Forskning › peer review

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AU - Kværnø, Anne

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N2 - We discuss stochastic differential equations with a stiff linear part and their approximation by stochastic exponential Runge–Kutta integrators. Representing the exact and approximate solutions using B-series and rooted trees, we derive the order conditions for stochastic exponential Runge–Kutta integrators. The resulting general order theory covers both Itô and Stratonovich integration.

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

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PB - Springer

T2 - European Conference on Numerical Mathematics and Advanced Applications

Y2 - 25 September 2017 through 29 September 2017

ER -

Stochastic B-series and order conditions for exponential integrators

Abstract

Konference

Emneord

Dokumenter og links

Fingeraftryk

Citationsformater