Near Preservation of Quadratic Invariants by Stochastic Runge-Kutta Methods

Abstract

Based on the combinatory theory of rooted colored trees, we investigate the conditions for the explicit stochastic Runge-Kutta (SRK) methods to preserve quadratic invariants (QI) up to certain orders of accuracy. These conditions can supply a practical approach of constructing explicit nearly conservative SRK methods. Meanwhile, we estimate errors in the preservation of QI resulting from iterative implementation of implicit conservative SRK methods with fixed-point and Newton's iterations. Finally, numerical experiments are performed to test the behavior of the methods in preserving QI.