Families of efficient second order Runge-Kutta methods for the weak approximation of Itô stochastic differential equations

DOI10.1016/J.APNUM.2008.03.012zbMath1166.65303arXiv1303.5103OpenAlexW2081214017MaRDI QIDQ1007380

Andreas Rößler, Kristian Debrabant

Publication date: 20 March 2009

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.5103

zbMATH Keywords

classificationstochastic differential equationweak approximationoptimal schemestochastic Runge-Kutta method

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (18)

Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations ⋮ Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies ⋮ A Micro-Macro Acceleration Method for the Monte Carlo Simulation of Stochastic Differential Equations ⋮ A Monte Carlo method for 3D radiative transfer equations with multifractional singular kernels ⋮ Weak second order S-ROCK methods for Stratonovich stochastic differential equations ⋮ Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations ⋮ Physically consistent simulation of mesoscale chemical kinetics: the non-negative FIS-\(\alpha\) method ⋮ Supplement: Efficient weak second order stochastic Runge-Kutta methods for non-commutative Stratonovich stochastic differential equations ⋮ Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise ⋮ A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems ⋮ Analysis of asymptotic mean-square stability of a class of Runge-Kutta schemes for linear systems of stochastic differential equations ⋮ Stochastic Runge-Kutta Rosenbrock type methods for SDE systems ⋮ Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations ⋮ On the stability of some second order numerical methods for weak approximation of Itô SDEs ⋮ Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis ⋮ Stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential algebraic equations ⋮ Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion ⋮ Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems

Cites Work

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• A survey of numerical methods for stochastic differential equations
• Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations
• Second order Runge-Kutta methods for Stratonovich stochastic differential equations
• Classification of stochastic Runge-Kutta methods for the weak approximation of stochastic differential equations
• Runge-Kutta methods for Itô stochastic differential equations with scalar noise
• Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
• Weak Second Order Conditions for Stochastic Runge--Kutta Methods
• Second order weak Runge-Kutta type methods for Itô equations
• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations

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