Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations (Q369398): Difference between revisions

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+explicit method
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+Itô stochastic differential equation
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+mean square stability
@@ Property / zbMATH Keywords: mean square stability / rank @@
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+numerical examples
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+stochastic Runge-Kutta methods
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+weak second-order methods
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+Towards a Systematic Linear Stability Analysis of Numerical Methods for Systems of Stochastic Differential Equations
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@@ Property / cites work @@
+A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
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+A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems
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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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@@ Property / cites work @@
+Q3550030
@@ Property / cites work: Q3550030 / rank @@
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@@ Property / cites work @@
+Solving Ordinary Differential Equations II
@@ Property / cites work: Solving Ordinary Differential Equations II / rank @@
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@@ Property / cites work @@
+\(A\)-stability and stochastic mean-square stability
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@@ Property / cites work @@
+Mean-Square and Asymptotic Stability of the Stochastic Theta Method
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@@ Property / cites work @@
+Stochastic stability of differential equations. With contributions by G. N. Milstein and M. B. Nevelson
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+Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Supplement: Efficient weak second order stochastic Runge-Kutta methods for non-commutative Stratonovich stochastic differential equations
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@@ Property / cites work @@
+Stahle ROW-Type Weak Scheme for Stochastic Differential Equations
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@@ Property / cites work @@
+Mersenne twister
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@@ Property / cites work @@
+Second order Runge-Kutta methods for Stratonovich stochastic differential equations
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@@ Property / cites work @@
+Second Order Runge–Kutta Methods for Itô Stochastic Differential Equations
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@@ Property / cites work @@
+Stability Analysis of Numerical Schemes for Stochastic Differential Equations
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@@ Property / cites work @@
+Mean-square stability of numerical schemes for stochastic differential systems
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@@ Property / cites work @@
+Mean-square stability analysis of numerical schemes for stochastic differential systems
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@@ Property / cites work @@
+Weak Second Order Conditions for Stochastic Runge--Kutta Methods
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@@ Property / DOI @@
+.1007/S10543-013-0419-3
@@ Property / DOI: 10.1007/S10543-013-0419-3 / rank @@
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+Publication:369398