B-series for SDEs with application to exponential integrators for non-autonomous semi-linear problems
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arXiv
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| Hauptverfasser: | , , |
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| Format: | Preprint |
| Veröffentlicht: |
2023
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| _version_ | 1866909450139336704 |
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| author | Arara, Alemayehu Adugna Debrabant, Kristian Kværnø, Anne |
| author_facet | Arara, Alemayehu Adugna Debrabant, Kristian Kværnø, Anne |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2310_09179 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | B-series for SDEs with application to exponential integrators for non-autonomous semi-linear problems Arara, Alemayehu Adugna Debrabant, Kristian Kværnø, Anne Numerical Analysis Probability 65C30 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. |
| title | B-series for SDEs with application to exponential integrators for non-autonomous semi-linear problems |
| topic | Numerical Analysis Probability 65C30 |
| url | https://arxiv.org/abs/2310.09179 |