A-stability preserving perturbation of Runge-Kutta methods for stochastic differential equations
From MaRDI portal
Publication:2184909
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)
Recommendations
- Nonlinear stability issues for stochastic Runge-Kutta methods
- A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise
- \(A\)-stability of Runge-Kutta methods for systems with additive noise
- Two-step Runge-Kutta methods for stochastic differential equations
- Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations
Cites work
- A spectral method for stochastic fractional differential equations
- An algorithmic introduction to numerical simulation of stochastic differential equations
- B–Series Analysis of Stochastic Runge–Kutta Methods That Use an Iterative Scheme to Compute Their Internal Stage Values
- Drift-preserving numerical integrators for stochastic Hamiltonian systems
- Economical Runge-Kutta methods for numerical solution of stochastic differential equations
- Exponential mean-square stability properties of stochastic linear multistep methods
- Higher-order implicit strong numerical schemes for stochastic differential equations
- scientific article; zbMATH DE number 4022294 (Why is no real title available?)
- scientific article; zbMATH DE number 2114382 (Why is no real title available?)
- Implicit stochastic Runge-Kutta methods for stochastic differential equations
- Low rank Runge-Kutta methods, symplecticity and stochastic Hamiltonian problems with additive noise
- Mean-Square and Asymptotic Stability of the Stochastic Theta Method
- Numerical preservation of long-term dynamics by stochastic two-step methods
- On the stability of -methods for stochastic Volterra integral equations
- Order conditions for stochastic Runge-Kutta methods preserving quadratic invariants of Stratonovich SDEs
- Order conditions of stochastic Runge--Kutta methods by B-series
- Runge-Kutta methods for Itô stochastic differential equations with scalar noise
- Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
- Stability Analysis of Numerical Schemes for Stochastic Differential Equations
- Stability issues for selected stochastic evolutionary problems: a review
- Stochastic Runge-Kutta methods for Itô sodes with small noise
- Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations
- Structure-preserving Runge-Kutta methods for stochastic Hamiltonian equations with additive noise
Cited in
(9)- \(A\)-stability of Runge-Kutta methods for systems with additive noise
- Dynamical low-rank approximation to the solution of parabolic differential equations
- Jacobian-dependent vs Jacobian-free discretizations for nonlinear differential problems
- Nonlinear stability issues for stochastic Runge-Kutta methods
- On the numerical structure preservation of nonlinear damped stochastic oscillators
- Perturbative analysis of stochastic Hamiltonian problems under time discretizations
- Two-step Runge-Kutta methods for stochastic differential equations
- How do Monte Carlo estimates affect stochastic geometric numerical integration?
- Stabilization of stochastic Runge-Kutta methods by TASE operators
This page was built for publication: A-stability preserving perturbation of Runge-Kutta methods for stochastic differential equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2184909)
