Properties of the matrix functions arising in exponential integrators with applications to stochastic simulations of PDEs

Elliot J. Carr

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arXiv · 2606.23227

Properties of the matrix functions arising in exponential integrators with applications to stochastic simulations of PDEs

Elliot J. Carr

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Abstract

The matrix exponential and the closely related matrix phi-functions play a fundamental role in the solution of first-order systems of ordinary differential equations (ODEs). In particular, they appear in exact solutions of certain linear ODE systems, and in exponential integrators, a class of explicit time discretisation methods for computing approximate solutions of stiff semi-linear ODE systems. Fundamental properties of the matrix exponential include that it is nonnegative if the matrix is essentially nonnegative and stochastic if the matrix is a transition-rate matrix. In this paper, we study related properties for the matrix phi-functions. Using these properties, we then provide insights into deterministic solutions of linear and semi-linear ODE systems and outline how such solutions can be used to generate stochastic simulations to quantify variability in model predictions. The paper concludes with some illustrative examples exploring the theory for some ODE systems arising from spatial discretisation of PDEs of diffusion, advection-diffusion, Fisher-KPP and Allen-Cahn type.

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Elliot J. Carr. 2026-06-22. Properties of the matrix functions arising in exponential integrators with applications to stochastic simulations of PDEs. https://arxiv.org/abs/2606.23227

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