1,962 research outputs found
Stochastic B-series analysis of iterated Taylor methods
For stochastic implicit Taylor methods that use an iterative scheme to
compute their numerical solution, stochastic B--series and corresponding growth
functions are constructed. From these, convergence results based on the order
of the underlying Taylor method, the choice of the iteration method, the
predictor and the number of iterations, for It\^o and Stratonovich SDEs, and
for weak as well as strong convergence are derived. As special case, also the
application of Taylor methods to ODEs is considered. The theory is supported by
numerical experiments
Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise
A new class of third order Runge-Kutta methods for stochastic differential
equations with additive noise is introduced. In contrast to Platen's method,
which to the knowledge of the author has been up to now the only known third
order Runge-Kutta scheme for weak approximation, the new class of methods
affords less random variable evaluations and is also applicable to SDEs with
multidimensional noise. Order conditions up to order three are calculated and
coefficients of a four stage third order method are given. This method has
deterministic order four and minimized error constants, and needs in addition
less function evaluations than the method of Platen. Applied to some examples,
the new method is compared numerically with Platen's method and some well known
second order methods and yields very promising results.Comment: Two further examples added, small correction
Exotic aromatic B-series for the study of long time integrators for a class of ergodic SDEs
We introduce a new algebraic framework based on a modification (called
exotic) of aromatic Butcher-series for the systematic study of the accuracy of
numerical integrators for the invariant measure of a class of ergodic
stochastic differential equations (SDEs) with additive noise. The proposed
analysis covers Runge-Kutta type schemes including the cases of partitioned
methods and postprocessed methods. We also show that the introduced exotic
aromatic B-series satisfy an isometric equivariance property.Comment: 33 page
Efficient implementation of Radau collocation methods
In this paper we define an efficient implementation of Runge-Kutta methods of
Radau IIA type, which are commonly used when solving stiff ODE-IVPs problems.
The proposed implementation relies on an alternative low-rank formulation of
the methods, for which a splitting procedure is easily defined. The linear
convergence analysis of this splitting procedure exhibits excellent properties,
which are confirmed by its performance on a few numerical tests.Comment: 19 pages, 3 figures, 9 table
The Magnus expansion and some of its applications
Approximate resolution of linear systems of differential equations with
varying coefficients is a recurrent problem shared by a number of scientific
and engineering areas, ranging from Quantum Mechanics to Control Theory. When
formulated in operator or matrix form, the Magnus expansion furnishes an
elegant setting to built up approximate exponential representations of the
solution of the system. It provides a power series expansion for the
corresponding exponent and is sometimes referred to as Time-Dependent
Exponential Perturbation Theory. Every Magnus approximant corresponds in
Perturbation Theory to a partial re-summation of infinite terms with the
important additional property of preserving at any order certain symmetries of
the exact solution. The goal of this review is threefold. First, to collect a
number of developments scattered through half a century of scientific
literature on Magnus expansion. They concern the methods for the generation of
terms in the expansion, estimates of the radius of convergence of the series,
generalizations and related non-perturbative expansions. Second, to provide a
bridge with its implementation as generator of especial purpose numerical
integration methods, a field of intense activity during the last decade. Third,
to illustrate with examples the kind of results one can expect from Magnus
expansion in comparison with those from both perturbative schemes and standard
numerical integrators. We buttress this issue with a revision of the wide range
of physical applications found by Magnus expansion in the literature.Comment: Report on the Magnus expansion for differential equations and its
applications to several physical problem
Composition of stochastic B-series with applications to implicit Taylor methods
In this article, we construct a representation formula for stochastic
B-series evaluated in a B-series. This formula is used to give for the first
time the order conditions of implicit Taylor methods in terms of rooted trees.
Finally, as an example we apply these order conditions to derive in a simple
manner a family of strong order 1.5 Taylor methods applicable to It\^o SDEs.Comment: slight changes to improve readability. Changes resulting from the
publishing process may not be reflected in the preprint versio
Order conditions for sampling the invariant measure of ergodic stochastic differential equations on manifolds
We derive a new methodology for the construction of high order integrators
for sampling the invariant measure of ergodic stochastic differential equations
with dynamics constrained on a manifold. We obtain the order conditions for
sampling the invariant measure for a class of Runge-Kutta methods applied to
the constrained overdamped Langevin equation. The analysis is valid for
arbitrarily high order and relies on an extension of the exotic aromatic
Butcher-series formalism. To illustrate the methodology, a method of order two
is introduced, and numerical experiments on the sphere, the torus and the
special linear group confirm the theoretical findings.Comment: 40 page
B-series for SDEs with application to exponential integrators for non-autonomous semi-linear problems
In this paper a set of previous general results for the development of
B--series for a broad class of stochastic differential equations has been
collected. The applicability of these results is demonstrated by the derivation
of B--series for non-autonomous semi-linear SDEs and exponential Runge-Kutta
methods applied to this class of SDEs, which is a significant generalization of
existing theory on such methods
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