General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems

DOI10.1016/S0168-9274(98)00042-7zbMath0924.65146OpenAlexW2071889875WikidataQ115339510 ScholiaQ115339510MaRDI QIDQ1294506

Pamela M. Burrage, Kevin Burrage

Publication date: 16 November 1999

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

Full work available at URL: https://doi.org/10.1016/s0168-9274(98)00042-7

zbMATH Keywords

numerical examplesWiener processesorder conditionsstochastic Runge-Kutta methodStratonovich vector stochastic ordinary differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Probabilistic methods, stochastic differential equations (65C99)

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