An explicit order 2 scheme for the strong approximation of Stratonovich stochastic differential equations with scalar noise (Q6085257): Difference between revisions

Latest revision as of 18:17, 30 December 2024

scientific article; zbMATH DE number 7776094

Language	Label	Description	Also known as
English	An explicit order 2 scheme for the strong approximation of Stratonovich stochastic differential equations with scalar noise	scientific article; zbMATH DE number 7776094

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instance of

scholarly article

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title

An explicit order 2 scheme for the strong approximation of Stratonovich stochastic differential equations with scalar noise (English)

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author

Hande Günay Akdemir

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published in

Numerical Methods for Partial Differential Equations

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publication date

12 December 2023

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zbMATH Keywords

scalar noise

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stochastic Runge-Kutta methods

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Stratonovich stochastic differential equations

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strong order of convergence

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1002/num.22769

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cites work

Order conditions for stochastic Runge-Kutta methods preserving quadratic invariants of Stratonovich SDEs

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High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations

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Order Conditions of Stochastic Runge--Kutta Methods by <i>B</i>-Series

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Coefficients for the study of Runge-Kutta integration processes

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High order numerical integrators for single integrand Stratonovich SDEs

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Economical Runge-Kutta methods with strong global order one for stochastic differential equations

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Cheap arbitrary high order methods for single integrand SDEs

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Diagonally drift-implicit Runge-Kutta methods of strong order one for stiff stochastic differential systems

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Q4319807

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Asymptotically Efficient Runge-Kutta Methods for a Class of Itô and Stratonovich Equations

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Explicit Order 1.5 Schemes for the Strong Approximation of Itô Stochastic Differential Equations

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Second Order Runge–Kutta Methods for Itô Stochastic Differential Equations

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Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations

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Strong Runge-Kutta Methods With order one for Numerical Solution of Ito Stochastic Differential Equations

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High strong order stochastic Runge-Kutta methods for Stratonovich stochastic differential equations with scalar noise

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Strong-order conditions of Runge-Kutta method for stochastic optimal control problems

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Identifiers

Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6085257

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+Normal rank
@@ Property / cites work @@
+Order conditions for stochastic Runge-Kutta methods preserving quadratic invariants of Stratonovich SDEs
+Normal rank
@@ Property / cites work @@
+High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
+Normal rank
@@ Property / cites work @@
+Order Conditions of Stochastic Runge--Kutta Methods by <i>B</i>-Series
+Normal rank
@@ Property / cites work @@
+Coefficients for the study of Runge-Kutta integration processes
+Normal rank
@@ Property / cites work @@
+High order numerical integrators for single integrand Stratonovich SDEs
+Normal rank
@@ Property / cites work @@
+Economical Runge-Kutta methods with strong global order one for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Cheap arbitrary high order methods for single integrand SDEs
+Normal rank
@@ Property / cites work @@
+Diagonally drift-implicit Runge-Kutta methods of strong order one for stiff stochastic differential systems
+Normal rank
@@ Property / cites work @@
+Q4319807
@@ Property / cites work: Q4319807 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotically Efficient Runge-Kutta Methods for a Class of Itô and Stratonovich Equations
+Normal rank
@@ Property / cites work @@
+Explicit Order 1.5 Schemes for the Strong Approximation of Itô Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Second Order Runge–Kutta Methods for Itô Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Strong Runge-Kutta Methods With order one for Numerical Solution of Ito Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+High strong order stochastic Runge-Kutta methods for Stratonovich stochastic differential equations with scalar noise
+Normal rank
@@ Property / cites work @@
+Strong-order conditions of Runge-Kutta method for stochastic optimal control problems
+Normal rank
@@ Property / DOI @@
+.1002/NUM.22769
@@ Property / DOI: 10.1002/NUM.22769 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
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