Two-step Runge-Kutta methods for stochastic differential equations
From MaRDI portal
Publication:2242796
DOI10.1016/j.amc.2020.125930OpenAlexW3146000315WikidataQ115361144 ScholiaQ115361144MaRDI QIDQ2242796
Carmela Scalone, Raffaele D'Ambrosio
Publication date: 10 November 2021
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2020.125930
stochastic differential equationsmean-square stability analysisstochastic two-step Runge-Kutta methods
Related Items (5)
Convergence and Stability of an Explicit Method for Autonomous Time-Changed Stochastic Differential Equations with Super-Linear Coefficients ⋮ Variable stepsize multivalue collocation methods ⋮ How do Monte Carlo estimates affect stochastic geometric numerical integration? ⋮ Filon quadrature for stochastic oscillators driven by time-varying forces ⋮ Positivity preserving stochastic \(\theta\)-methods for selected SDEs
Cites Work
- Unnamed Item
- Unnamed Item
- Low rank Runge-Kutta methods, symplecticity and stochastic Hamiltonian problems with additive noise
- Improved linear multi-step methods for stochastic ordinary differential equations
- Higher-order implicit strong numerical schemes for stochastic differential equations
- General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems
- A bound on the maximum strong order of stochastic Runge-Kutta methods for stochastic ordinary differential equations
- On the boundedness of asymptotic stability regions for the stochastic theta method
- On the stability of \(\vartheta\)-methods for stochastic Volterra integral equations
- Numerical preservation of long-term dynamics by stochastic two-step methods
- Two-stage stochastic Runge-Kutta methods for stochastic differential equations
- Explicit two-step Runge-Kutta methods
- Drift-preserving numerical integrators for stochastic Hamiltonian systems
- A-stability preserving perturbation of Runge-Kutta methods for stochastic differential equations
- Long-term analysis of stochastic \(\theta\)-methods for damped stochastic oscillators
- Generalized two-step Maruyama methods for stochastic differential equations
- Structure-preserving Runge-Kutta methods for stochastic Hamiltonian equations with additive noise
- Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations
- Asymptotic mean-square stability of two-step Maruyama schemes for stochastic differential equations
- Order Conditions of Stochastic Runge--Kutta Methods by B-Series
- An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
- Two-Step Runge–Kutta Methods
- Accurate Stationary Densities with Partitioned Numerical Methods for Stochastic Differential Equations
- Numerical Treatment of Stochastic Differential Equations
- Variable-Stepsize Explicit Two-Step Runge-Kutta Methods
- Mean-Square and Asymptotic Stability of the Stochastic Theta Method
- Numerical Methods for Second‐Order Stochastic Differential Equations
- Multistep methods for SDEs and their application to problems with small noise
- Handbook of stochastic methods for physics, chemistry and natural sciences.
- High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
This page was built for publication: Two-step Runge-Kutta methods for stochastic differential equations
