Embedded stochastic Runge-Kutta methods

DOI10.1002/PAMM.200310213MaRDI QIDQ3061527zbMATH OpenOpenAlexFDO

Authors Andreas Rößler

Publication date 15 December 2010

Published in PAMM (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/pamm.200310213

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

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Cited in

(7)

• Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise.
• Adaptive methods for stochastic differential equations via natural embeddings and rejection sampling with memory
• An adaptive discretization algorithm for the weak approximation of stochastic differential equations
• Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
• Embedded Pseudo-Runge–Kutta Methods
• A quasi-randomized Runge-Kutta method
• Issues in the Software Implementation of Stochastic Numerical Runge–Kutta

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