Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies

DOI10.1016/J.CAM.2020.112890MaRDI QIDQ2175837zbMATH OpenOpenAlexFDO

Authors A. Rathinasamy, D. Ahmadian, Priya Nair

Publication date 30 April 2020

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.2020.112890

zbMATH Keywords

balanced stochastic Runge-Kutta methodsmean-square stabilitynumerical solutionsstochastic differential equationsstrong convergence

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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Cites work

• A class of balanced stochastic Runge-Kutta methods for stiff SDE systems
• A class of split-step balanced methods for stiff stochastic differential equations
• A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
• A note on the balanced method
• A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems
• Analysis of asymptotic mean-square stability of a class of Runge-Kutta schemes for linear systems of stochastic differential equations
• Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems
• Balanced Implicit Methods for Stiff Stochastic Systems
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• First-order weak balanced schemes for stochastic differential equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
• scientific article; zbMATH DE number 1016795 (Why is no real title available?)
• scientific article; zbMATH DE number 2114382 (Why is no real title available?)
• Mean-square stability analysis of numerical schemes for stochastic differential systems
• Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems
• Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations
• Order conditions of stochastic Runge--Kutta methods by B-series
• Second order Runge-Kutta methods for Itô stochastic differential equations
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Stability analysis of split-step \(\theta \)-Milstein method for a class of \(n\)-dimensional stochastic differential equations
• Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations
• Strong and weak approximation methods for stochastic differential equations -- some recent developments
• Towards a systematic linear stability analysis of numerical methods for systems of stochastic differential equations
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• Weak Second Order Conditions for Stochastic Runge--Kutta Methods

Cited in

(5)

• Dynamic statistical responses of gear drive based on improved stochastic iteration method
• Mean-square stability of 1.5 strong convergence orders of diagonally drift Runge-Kutta methods for a class of stochastic differential equations
• Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems
• A class of balanced stochastic Runge-Kutta methods for stiff SDE systems
• Stability and convergence analysis of stochastic Runge-Kutta and balanced stochastic Runge-Kutta methods for solving stochastic differential equations

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