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

DOI10.1007/S10543-016-0618-9zbMath1359.60086OpenAlexW2342991527MaRDI QIDQ512857

Xiao Tang, Ai-Guo Xiao

Publication date: 2 March 2017

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10543-016-0618-9

zbMATH Keywords

weak convergencestochastic Runge-Kutta methodsItô stochastic differential equations

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) 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)

Related Items (8)

Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise ⋮ Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies ⋮ Efficient Stochastic Runge-Kutta Methods for Stochastic Differential Equations with Small Noises ⋮ Asymptotically optimal approximation of some stochastic integrals and its applications to the strong second-order methods ⋮ High-order stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with additive noise ⋮ New explicit stabilized stochastic Runge-Kutta methods with weak second order for stiff Itô stochastic differential equations ⋮ Tamed Runge-Kutta methods for SDEs with super-linearly growing drift and diffusion coefficients ⋮ Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems

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