General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems

DOI10.1016/S0168-9274(98)00042-7zbMath0924.65146OpenAlexW2071889875WikidataQ115339510 ScholiaQ115339510MaRDI QIDQ1294506

Pamela M. Burrage, Kevin Burrage

Publication date: 16 November 1999

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

Full work available at URL: https://doi.org/10.1016/s0168-9274(98)00042-7

zbMATH Keywords

numerical examplesWiener processesorder conditionsstochastic Runge-Kutta methodStratonovich vector stochastic ordinary differential equation

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) Probabilistic methods, stochastic differential equations (65C99)

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Cites Work

• High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula
• Higher-order implicit strong numerical schemes for stochastic differential equations
• A bound on the maximum strong order of stochastic Runge-Kutta methods for stochastic ordinary 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
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