Stochastic Runge–Kutta Methods for Itô SODEs with Small Noise
Publication:2998009
DOI10.1137/090763275zbMath1215.65013OpenAlexW2032748090MaRDI QIDQ2998009
Renate Winkler, Evelyn Buckwar, Andreas Rößler
Publication date: 17 May 2011
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/090763275
numerical examplesmean-square convergencestochastic Runge-Kutta methodssmall noiseItô stochastic differential equationsMaruyama method
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) 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)
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