Efficient stochastic Runge-Kutta methods for stochastic differential equations with small noises (Q5156593)

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Efficient stochastic Runge-Kutta methods for stochastic differential equations with small noises

scientific article; zbMATH DE number 7408316

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English	Efficient stochastic Runge-Kutta methods for stochastic differential equations with small noises	scientific article; zbMATH DE number 7408316

Statements

instance of

scholarly article

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title

Efficient Stochastic Runge-Kutta Methods for Stochastic Differential Equations with Small Noises (English)

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Advances in Applied Mathematics and Mechanics

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publication date

11 October 2021

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zbMATH Keywords

stochastic differential equations

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stochastic Runge-Kutta methods

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small noises

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MaRDI profile type

MaRDI publication profile

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cites work

Mean-square \(A\)-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations

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Weak second-order explicit stabilized methods for stiff stochastic differential equations

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Stochastic Runge-Kutta methods for Itô sodes with small noise

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On two-step schemes for SDEs with small noise

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Multistep methods for SDEs and their application to problems with small noise

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Improved linear multi-step methods for stochastic ordinary differential equations

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High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations

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

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Split-step \({\theta}\)-method for stochastic delay differential equations

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Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise

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

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Modelling and simulation of transient noise in circuit simulation

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Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations

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Mean square convergence of stochastic \(\theta\)-methods for nonlinear neutral stochastic differential delay equations

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Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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Preservation of quadratic invariants of stochastic differential equations via Runge-Kutta methods

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Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

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Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients

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Q4004325

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Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations

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Rooted tree analysis of the order conditions of row-type scheme for stochastic differential equations

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Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations

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Convergence and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments

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Stochastic differential equations and applications.

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Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noises

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Q4826106

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Stepsize Control for Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noise

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Stochastic Taylor Expansions for the Expectation of Functionals of Diffusion Processes

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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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Second order Runge-Kutta methods for Itô stochastic differential equations

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

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Strong and weak approximation methods for stochastic differential equations -- some recent developments

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Efficient weak second-order stochastic Runge-Kutta methods for Itô 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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Rare event simulation of small noise diffusions

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Higher order strong approximations of semilinear stochastic wave equation with additive space-time white noise

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Modified equations for weakly convergent stochastic symplectic schemes via their generating functions

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Construction of symplectic Runge-Kutta methods for stochastic Hamiltonian systems

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Numerical Solutions of Neutral Stochastic Functional Differential Equations

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High strong order stochastic Runge-Kutta methods for Stratonovich stochastic differential equations with scalar noise

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Strong convergence of the split-step theta method for neutral stochastic delay differential equations

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Strong Convergence Analysis of Split-Step <i>θ</i>-Scheme for Nonlinear Stochastic Differential Equations with Jumps

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Strong convergence of split-step theta methods for non-autonomous stochastic differential equations

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Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise

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full work available at URL

https://doi.org/10.4208/aamm.oa-2017-0181

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Identifiers

zbMATH Open document ID

1499.65306

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Mathematics Subject Classification ID

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10.4208/AAMM.OA-2017-0181

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Sitelinks

Mathematics(1 entry)

mardi Efficient stochastic Runge-Kutta methods for stochastic differential equations with small noises