Predictor-Corrector Methods of Runge--Kutta Type for Stochastic Differential Equations

DOI10.1137/S0036142900372677zbMath1026.60075MaRDI QIDQ4785826

Kevin Burrage, Tianhai Tian

Publication date: 5 January 2003

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

zbMATH Keywords

numerical stability; Runge-Kutta methods; predictor-corrector methods; Stratonovich stochastic differential equations; asymptotic mean-square stability

Mathematics Subject Classification ID

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

65L20: Stability and convergence of numerical methods for ordinary differential equations

65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Unnamed Item, Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations, Asymptotic mean square stability of predictor-corrector methods for stochastic delay ordinary and partial differential equations, The truncated Euler-Maruyama method for stochastic differential equations, Weak second-order splitting schemes for Lagrangian Monte Carlo particle methods for the composition PDF/FDF transport equations, Existence and uniqueness of the solutions and convergence of semi-implicit Euler methods for stochastic pantograph equations, Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations, Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations, Statistical analysis of diffusion systems with invariants, Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching, Almost sure and moment exponential stability of predictor-corrector methods for stochastic differential equations, STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS