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math.NA2026
Derivation of optimal stochastic Runge-Kutta methods with exotic and decorated Butcher series for the weak integration of stochastic dynamics
Adrien Busnot Laurent, Kristian Debrabant, Anne Kværnø
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 ori…
math.NA2020
High order numerical integrators for single integrand Stratonovich SDEs
David Cohen, Kristian Debrabant, Andreas Rößler
We show that applying any deterministic B-series method of order with a random step size to single integrand SDEs gives a numerical method converging in the mean-square and w…