Siam journal on numerical analysis vol:47 issue:1 pages:181-203
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.