Runge-Kutta methods for numerical solution of stochastic differential equations

DOI10.1016/S0377-0427(01)00380-6zbMath0993.65012MaRDI QIDQ5957938

R. Ardanuy, Alicia Tocino

Publication date: 26 September 2002

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

numerical examplesstochastic differential equationsweak approximationRunge-Kutta methodsexplicit schemesweak numerical schemes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

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• \(A\)-stability of Runge-Kutta methods for systems with additive noise
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• Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise
• Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
• Weak Approximation of Solutions of Systems of Stochastic Differential Equations
• Numerical Solution of Stochastic Differential Equations with Constant Diffusion Coefficients
• A Method of Second-Order Accuracy Integration of Stochastic Differential Equations
• Numerical Treatment of Stochastic Differential Equations
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Runge-Kutta methods for numerical solution of stochastic differential equations

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