Stochastic B-series and order conditions for exponential integrators

Abstract

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

Cited by in corpus (2)

• Runge-Kutta Lawson schemes for stochastic differential equations
• Exponential Euler method for stiff stochastic differential equations with additive fractional Brownian noise