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.
Original language | English |
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Journal | Journal of Computational Dynamics |
Volume | 11 |
Issue number | 4 |
Pages (from-to) | 533-546 |
ISSN | 2158-2491 |
DOIs | |
Publication status | Published - Oct 2024 |
Keywords
- Stochastic differential equations
- composition of stochastic B—series
- exponential integrators
- stochastic B–series
- stochastic rooted trees