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

DOI10.1016/j.apnum.2008.03.012zbMath1166.65303arXiv1303.5103OpenAlexW2081214017MaRDI QIDQ1007380

Andreas Rößler, Kristian Debrabant

Publication date: 20 March 2009

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.5103

zbMATH Keywords

classificationstochastic differential equationweak approximationoptimal schemestochastic Runge-Kutta method

Mathematics Subject Classification ID

Related Items (18)

Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations ⋮ Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies ⋮ A Micro-Macro Acceleration Method for the Monte Carlo Simulation of Stochastic Differential Equations ⋮ A Monte Carlo method for 3D radiative transfer equations with multifractional singular kernels ⋮ Weak second order S-ROCK methods for Stratonovich stochastic differential equations ⋮ Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations ⋮ Physically consistent simulation of mesoscale chemical kinetics: the non-negative FIS-\(\alpha\) method ⋮ Supplement: Efficient weak second order stochastic Runge-Kutta methods for non-commutative Stratonovich stochastic differential equations ⋮ Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise ⋮ A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems ⋮ Analysis of asymptotic mean-square stability of a class of Runge-Kutta schemes for linear systems of stochastic differential equations ⋮ Stochastic Runge-Kutta Rosenbrock type methods for SDE systems ⋮ Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations ⋮ On the stability of some second order numerical methods for weak approximation of Itô SDEs ⋮ Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis ⋮ Stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential algebraic equations ⋮ Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion ⋮ Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems

Cites Work

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• A survey of numerical methods for stochastic differential equations
• Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations
• Second order Runge-Kutta methods for Stratonovich stochastic differential equations
• Classification of stochastic Runge-Kutta methods for the weak approximation of stochastic differential equations
• Runge-Kutta methods for Itô stochastic differential equations with scalar noise
• Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
• Weak Second Order Conditions for Stochastic Runge--Kutta Methods
• Second order weak Runge-Kutta type methods for Itô equations
• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations

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