Rooted tree analysis of the order conditions of row-type scheme for stochastic differential equations

DOI10.1007/BF02510172zbMath0876.65098MaRDI QIDQ678212

Sugiura, Hiroshi, Taketomo Mitsui, Yoshio Komori

Publication date: 20 November 1997

Published in: BIT (Search for Journal in Brave)

zbMATH Keywords

stability; stochastic differential equations; order conditions; rooted tree analysis; Rosenbrock-Wanner type numerical schemes; Stratonovich-Taylor expansion

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65C99: Probabilistic methods, stochastic differential equations

Related Items

Stochastic Taylor Expansions: Weight Functions of B-Series Expressed as Multiple Integrals, The composite Euler method for stiff stochastic differential equations, Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations, High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations, Composition of stochastic B-series with applications to implicit Taylor methods, Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family, Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process, Low-storage Runge-Kutta methods for stochastic differential equations, Numerical solutions of stochastic differential equations -- implementation and stability issues, Stochastically stable one-step approximations of solutions of stochastic ordinary differential equations, A step size control algorithm for the weak approximation of stochastic differential equations, Second order Runge-Kutta methods for Stratonovich stochastic differential equations, Continuous weak approximation for stochastic differential equations, Classification of stochastic Runge-Kutta methods for the weak approximation of stochastic differential equations, Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations

Uses Software

• RODAS

Cites Work

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• Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
• Stability of weak numerical schemes for stochastic differential equations