Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise.

DOI10.1016/j.cam.2003.09.009zbMath1038.65003WikidataQ115359905 ScholiaQ115359905MaRDI QIDQ1426803

Andreas Rößler

Publication date: 15 March 2004

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2003.09.009

zbMATH Keywords

convergence; Wiener processes; weak approximation; Stratonovich stochastic differential equation; stochastic Runge-Kutta methods

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65L20: Stability and convergence of numerical methods for ordinary differential equations

34F05: Ordinary differential equations and systems with randomness

65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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Cites Work

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• Adaptive schemes for the numerical solution of SDEs -- a comparison
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