Order conditions for stochastic Runge–Kutta methods preserving quadratic invariants of Stratonovich SDEs
| Autor: | Sverre Anmarkrud, Anne Kværnø |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2017 |
| Předmět: |
Physics::Computational Physics
Generalization Applied Mathematics Mathematical analysis Order (ring theory) 010103 numerical & computational mathematics 01 natural sciences Computer Science::Numerical Analysis Mathematics::Numerical Analysis 010101 applied mathematics Computational Mathematics symbols.namesake Tree (descriptive set theory) Runge–Kutta methods Quadratic equation Runge–Kutta method symbols Applied mathematics 0101 mathematics Mathematics |
| Zdroj: | Journal of Computational and Applied Mathematics |
| Popis: | In this paper we prove that for a stochastic Runge–Kutta method, the conditions for preserving quadratic invariants work as simplifying assumptions. For such methods, the method coefficients only have to satisfy one condition for each unrooted tree. This is a generalization of the result obtained for deterministic Runge–Kutta methods by Sanz-Serna and Abia in 1991. © 2016. This is the authors’ accepted and refereed manuscript to the article. Locked until 6.9.2018 due to copyright restrictions. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ |
| Databáze: | OpenAIRE |
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