A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems (Q457701)

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A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems

scientific article; zbMATH DE number 6349148

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English	A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems	scientific article; zbMATH DE number 6349148

Statements

instance of

scholarly article

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title

A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems (English)

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Journal of Computational and Applied Mathematics

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publication date

29 September 2014

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zbMATH Keywords

stiff stochastic differential equations

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mean-square stability

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stochastic Runge-Kutta schemes

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split-drift SRK

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SDSRK

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.cam.2014.07.023

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cites work

Q4004325

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Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations

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Second order Runge-Kutta methods for Stratonovich stochastic differential equations

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Stochastic Taylor Expansions for the Expectation of Functionals of Diffusion Processes

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Stochastic Runge-Kutta methods for Itô sodes with small noise

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Order conditions of stochastic Runge--Kutta methods by B-series

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A note on the balanced method

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The composite Euler method for stiff stochastic differential equations

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Numerical methods for strong solutions of stochastic differential equations: an overview

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Higher-order implicit strong numerical schemes for stochastic differential equations

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Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations

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Balanced Implicit Methods for Stiff Stochastic Systems

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On the stability of some second order numerical methods for weak approximation of Itô SDEs

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A class of split-step balanced methods for stiff stochastic differential equations

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A variable step-size control algorithm for the weak approximation of stochastic differential equations

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A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods

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Families of efficient second order Runge-Kutta methods for the weak approximation of Itô stochastic differential equations

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Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis

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Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations

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Q4805354

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Towards a systematic linear stability analysis of numerical methods for systems of stochastic differential equations

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A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems

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Mean-square stability analysis of numerical schemes for stochastic differential systems

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Stahle ROW-Type Weak Scheme for Stochastic Differential Equations

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Q4404205

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Q5524958

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Solving Ordinary Differential Equations I

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Identifiers

zbMATH Open document ID

1334.65014

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Mathematics Subject Classification ID

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10.1016/J.CAM.2014.07.023

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Sitelinks

Mathematics(1 entry)

mardi A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems