B–Series Analysis of Stochastic Runge–Kutta Methods That Use an Iterative Scheme to Compute Their Internal Stage Values

DOI10.1137/070704307zbMath1188.65006OpenAlexW1968527454MaRDI QIDQ5305927

Kristian Debrabant, Anne Kværnø

Publication date: 24 March 2010

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

Full work available at URL: https://doi.org/10.1137/070704307

zbMATH Keywords

stochastic differential equationNewton's methoditerative schemeorderweak approximationstrong approximationgrowth functionsstochastic Runge-Kutta methodstochastic B-seriescomposite methodinternal stage values

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)

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