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B-series for SDEs with application to exponential integrators for non-autonomous semi-linear problems (2310.09179v2)

Published 13 Oct 2023 in math.NA, cs.NA, and math.PR

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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