General order conditions for stochastic partitioned Runge-Kutta methods

DOI10.1007/s10543-017-0693-6zbMath1394.65005arXiv1703.02067OpenAlexW2949402014MaRDI QIDQ1647653

Kristian Debrabant, Sverre Anmarkrud, Anne Kværnø

Publication date: 26 June 2018

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1703.02067

zbMATH Keywords

stochastic differential equationsstochastic partitioned Runge-Kutta methodsstochastic B-series

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

Nonlinear stability issues for stochastic Runge-Kutta methods ⋮ High-order stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with additive noise

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