Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations (Q512857): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations	scientific article

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scholarly article

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Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations (English)

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publication date

2 March 2017

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zbMATH Keywords

Itô stochastic differential equations

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stochastic Runge-Kutta methods

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weak convergence

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10543-016-0618-9

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Mean-square \(A\)-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations

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Weak Second Order Explicit Stabilized Methods for Stiff Stochastic Differential Equations

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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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Stochastic Runge–Kutta Methods for Itô SODEs with Small Noise

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B–Series Analysis of Stochastic Runge–Kutta Methods That Use an Iterative Scheme to Compute Their Internal Stage Values

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Classification of stochastic Runge-Kutta methods for the weak approximation of stochastic differential equations

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Families of efficient second order Runge-Kutta methods for the weak approximation of Itô stochastic differential equations

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Extrapolation Methods for the Weak Approximation of Ito Diffusions

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Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations

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Supplement: Efficient weak second order stochastic Runge-Kutta methods for non-commutative Stratonovich stochastic differential equations

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Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations

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Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing

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Stochastic Taylor Expansions for the Expectation of Functionals of Diffusion Processes

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Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations

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Second order Runge-Kutta methods for Stratonovich stochastic differential equations

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Second Order Runge–Kutta Methods for Itô Stochastic Differential Equations

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Strong and Weak Approximation Methods for Stochastic Differential Equations—Some Recent Developments

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Weak Second Order Conditions for Stochastic Runge--Kutta Methods

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1007/S10543-016-0618-9

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Sitelinks

Mathematics(1 entry)

mardi Publication:512857

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