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

Alemayehu Adugna Arara, Kristian Debrabant, Anne Kværnø*

*Corresponding author for this work

Research output: Contribution to journalJournal articleResearchpeer-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.
Original languageEnglish
JournalJournal of Computational Dynamics
Volume11
Issue number4
Pages (from-to)533-546
ISSN2158-2491
DOIs
Publication statusPublished - Oct 2024

Keywords

  • Stochastic differential equations
  • composition of stochastic B—series
  • exponential integrators
  • stochastic B–series
  • stochastic rooted trees

Fingerprint

Dive into the research topics of 'B-series for SDEs with application to exponential integrators for non-autonomous semi-linear problems'. Together they form a unique fingerprint.

Cite this