High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
From MaRDI portal
Publication:5961735
DOI10.1016/S0168-9274(96)00027-XzbMath0868.65101MaRDI QIDQ5961735
Pamela M. Burrage, Kevin Burrage
Publication date: 5 August 1997
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0168-9274(96)00027-x
stochastic differential equations; explicit Runge-Kutta methods; four stage method; two stage method
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
34F05: Ordinary differential equations and systems with randomness
65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations
65C99: Probabilistic methods, stochastic differential equations
Related Items
Unnamed Item, High-Order Energy-Preserving Methods for Stochastic Poisson Systems, Issues in the Software Implementation of Stochastic Numerical Runge–Kutta, Efficient Stochastic Runge-Kutta Methods for Stochastic Differential Equations with Small Noises, Exotic aromatic B-series for the study of long time integrators for a class of ergodic SDEs, Stochastic Taylor Expansions: Weight Functions of B-Series Expressed as Multiple Integrals, Higher order weak linearizations of stochastically driven nonlinear oscillators, The composite Euler method for stiff stochastic differential equations, Implicit Taylor methods for stiff stochastic differential equations, Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations, Adaptive schemes for the numerical solution of SDEs -- a comparison, High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations, STOCHASTIC PARTITIONED AVERAGED VECTOR FIELD METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH A CONSERVED QUANTITY, Mean-square stability of a constructed Third-order stochastic Runge--Kutta schemes for general stochastic differential equations, Asymptotic mean square stability of predictor-corrector methods for stochastic delay ordinary and partial differential equations, An explicit order 2 scheme for the strong approximation of Stratonovich stochastic differential equations with scalar noise, Explicit pseudo-symplectic Runge-Kutta methods for stochastic Hamiltonian systems, The aromatic bicomplex for the description of divergence-free aromatic forms and volume-preserving integrators, Data-driven structure-preserving model reduction for stochastic Hamiltonian systems, High strong order stochastic Runge-Kutta methods for Stratonovich stochastic differential equations with scalar noise, A piezoelectric energy harvester based on internal resonance, Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise, Stochastic Runge-Kutta Rosenbrock type methods for SDE systems, Cheap arbitrary high order methods for single integrand SDEs, Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations, Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation, A variable step-size control algorithm for the weak approximation of stochastic differential equations, Economical Runge-Kutta methods with strong global order one for stochastic differential equations, Composition of stochastic B-series with applications to implicit Taylor methods, The composite Milstein methods for the numerical solution of Itô stochastic differential equations, B-series analysis of iterated Taylor methods, MS-stability of the Euler--Maruyama method for stochastic differential delay equations, The composite Milstein methods for the numerical solution of Stratonovich stochastic differential equations, A high-order discontinuous Galerkin method for Itô stochastic ordinary differential equations, Mesoscopic simulation of Ostwald ripening, A note on the balanced method, Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family, Runge-Kutta methods for affinely controlled nonlinear systems, Low-storage Runge-Kutta methods for stochastic differential equations, Weak forms of the locally transversal linearization (LTL) technique for stochastically driven nonlinear oscillators, Three-stage stochastic Runge-Kutta methods for stochastic differential equations, Fast indirect robust generalized method of moments, Concentration effects in mesoscopic simulation of coarsening, High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula, Families of efficient second order Runge-Kutta methods for the weak approximation of Itô stochastic differential equations, B-convergence: A survey, General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems, Step size control in the numerical solution of stochastic differential equations, An adaptive timestepping algorithm for stochastic differential equations., Numerical simulation of stochastic ordinary differential equations in biomathematical modelling., Stochastic discrete Hamiltonian variational integrators, Modeling the lake eutrophication stochastic ecosystem and the research of its stability, General order conditions for stochastic partitioned Runge-Kutta methods, The modified dual reciprocity boundary elements method and its application for solving stochastic partial differential equations, Minimal truncation error constants for Runge-Kutta method for stochastic optimal control problems, Numerical solutions of stochastic differential equations -- implementation and stability issues, A Runge-Kutta type scheme for nonlinear stochastic partial differential equations with multiplicative trace class noise, Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise, Asymptotically optimal approximation of some stochastic integrals and its applications to the strong second-order methods, Runge-Kutta Lawson schemes for stochastic differential equations, Discrete stochastic port-Hamiltonian systems, A new class of structure-preserving stochastic exponential Runge-Kutta integrators for stochastic differential equations, Strong-order conditions of Runge-Kutta method for stochastic optimal control problems, High order numerical integrators for single integrand Stratonovich SDEs, Accurate particle time integration for solving Vlasov-Fokker-Planck equations with specified electromagnetic fields, A discontinuous Galerkin method for systems of stochastic differential equations with applications to population biology, finance, and physics, Two-step Runge-Kutta methods for stochastic differential equations, Mean-square stability of 1.5 strong convergence orders of diagonally drift Runge-Kutta methods for a class of stochastic differential equations, The discontinuous Galerkin method for stochastic differential equations driven by additive noises, Numerical treatment of stochastic delay differential equations: a global error bound, Adaptive methods for stochastic differential equations via natural embeddings and rejection sampling with memory, A new adaptive Runge-Kutta method for stochastic differential equations, Order conditions for stochastic Runge-Kutta methods preserving quadratic invariants of Stratonovich SDEs, Arbitrary high-order EQUIP methods for stochastic canonical Hamiltonian systems, Almost sure and moment exponential stability of predictor-corrector methods for stochastic differential equations, Second order Runge-Kutta methods for Stratonovich stochastic differential equations, An analysis of stability of Milstein method for stochastic differential equations with delay, Continuous weak approximation for stochastic differential equations, Classification of stochastic Runge-Kutta methods for the weak approximation of stochastic differential equations, Evaluating methods for approximating stochastic differential equations, Application of the Heston stochastic volatility model for Borsa Istanbul using impression matrix norm, Numerical solution of stochastic differential problems in the biosciences, Persistence and extinction in stochastic delay logistic equation by incorporating Ornstein-Uhlenbeck process, Order conditions for sampling the invariant measure of ergodic stochastic differential equations on manifolds, Parameter Estimation in Stochastic Differential Equations, Stochastic Regularization Method for Backward Cauchy Problem in Banach Spaces, Stochastic Taylor Expansions for the Expectation of Functionals of Diffusion Processes, Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations, Jump-Diffusion Approximation of Stochastic Reaction Dynamics: Error Bounds and Algorithms
Cites Work
- Rooted tree analysis of the order conditions of row-type scheme for stochastic differential equations
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Continuous Markov processes and stochastic equations
- Stratonovich and Ito Stochastic Taylor Expansions
- 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
- Coefficients for the study of Runge-Kutta integration processes
- High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item