B-series for SDEs with application to exponential integrators for non-autonomous semi-linear problems
Alemayehu Adugna Arara,
Kristian Debrabant,
Anne Kværnø
Abstract: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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