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Title: B-series analysis of stochastic Runge-Kutta methods that use an iterative scheme to compute their internal stage values
Authors: Debrabant, Kristian * ×
Kvaerno, Anne * #
Issue Date: 2008
Publisher: Siam publications
Series Title: Siam journal on numerical analysis vol:47 issue:1 pages:181-203
Abstract: In recent years, implicit stochastic Runge-Kutta (SRK) methods have been developed both for strong and weak approximations. For these methods, the stage values are only given implicitly. However, in practice these implicit equations are solved by iterative schemes such as simple iteration, modified Newton iteration or full Newton iteration. We employ a unifying approach for the construction of stochastic B-series which is valid both for Ito- and Stratonovich-stochastic differential equations (SDEs) and applicable both for weak and strong convergence to analyze the order of the iterated Runge-Kutta method. Moreover, the analytical techniques applied in this paper can be of use in many other similar contexts.
ISSN: 0036-1429
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Non-KU Leuven Association publications
* (joint) first author
× corresponding author
# (joint) last author

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