Derivation of optimal stochastic Runge-Kutta methods with exotic and decorated Butcher series for the weak integration of stochastic dynamics
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arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2026
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| _version_ | 1866908913235918848 |
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| author | Laurent, Adrien Busnot Debrabant, Kristian Kværnø, Anne |
| author_facet | Laurent, Adrien Busnot Debrabant, Kristian Kværnø, Anne |
| contents | The design of numerical integrators for solving stochastic dynamics with high weak order relies on tedious calculations and is subject to a high number of order conditions. The original approaches from the literature consider strong approximations and adapt them for the weak approximation by replacing the iterated stochastic integrals by appropriate random variables. The methods obtained this way are sub-optimal in their number of function evaluations and the analysis of order conditions is unnecessarily complicated. We provide in this paper a novel approach, relying on well-chosen sets of random Runge-Kutta coefficients, that greatly reduce the number of order conditions. The approach is successfully applied to the creation of a collection of new stochastic Runge-Kutta methods of second weak order with an optimal number of function evaluations and a smaller number of random variables. The efficiency of the new methods is confirmed with numerical experiments and a modern algebraic approach using Hopf algebras is provided for the derivation and the study of the order conditions. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2603_24255 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Derivation of optimal stochastic Runge-Kutta methods with exotic and decorated Butcher series for the weak integration of stochastic dynamics Laurent, Adrien Busnot Debrabant, Kristian Kværnø, Anne Numerical Analysis Combinatorics Probability Rings and Algebras 60H35, 65L06, 41A58, 16T05 The design of numerical integrators for solving stochastic dynamics with high weak order relies on tedious calculations and is subject to a high number of order conditions. The original approaches from the literature consider strong approximations and adapt them for the weak approximation by replacing the iterated stochastic integrals by appropriate random variables. The methods obtained this way are sub-optimal in their number of function evaluations and the analysis of order conditions is unnecessarily complicated. We provide in this paper a novel approach, relying on well-chosen sets of random Runge-Kutta coefficients, that greatly reduce the number of order conditions. The approach is successfully applied to the creation of a collection of new stochastic Runge-Kutta methods of second weak order with an optimal number of function evaluations and a smaller number of random variables. The efficiency of the new methods is confirmed with numerical experiments and a modern algebraic approach using Hopf algebras is provided for the derivation and the study of the order conditions. |
| title | Derivation of optimal stochastic Runge-Kutta methods with exotic and decorated Butcher series for the weak integration of stochastic dynamics |
| topic | Numerical Analysis Combinatorics Probability Rings and Algebras 60H35, 65L06, 41A58, 16T05 |
| url | https://arxiv.org/abs/2603.24255 |