Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise

DOI10.1007/BF01990541zbMath0789.65101OpenAlexW2054527156MaRDI QIDQ1317867

Renato Spigler, Diego Bricio Hernandez

Publication date: 13 June 1994

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01990541

zbMATH Keywords

stochastic differential equationsnumerical stabilitystochastic stabilityRunge-Kutta methodsimplicit methodsglobal order of convergencemultiplicative Gaussian white noise

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic stability in control theory (93E15) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Probabilistic methods, stochastic differential equations (65C99)

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Cites Work

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• Discretization and simulation of stochastic differential equations
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• On the gap between deterministic and stochastic ordinary differential equations
• Continuous Markov processes and stochastic equations
• Itô’s Calculus in Financial Decision Making
• Stratonovich and Ito Stochastic Taylor Expansions
• Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
• Numerical Treatment of Stochastic Differential Equations

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