New explicit stabilized stochastic Runge-Kutta methods with weak second order for stiff Itô stochastic differential equations
DOI10.1007/S11075-018-0615-YOpenAlexW2898477976MaRDI QIDQ2274162FDOQ2274162
Authors: Xiao Tang, Aiguo Xiao 
Publication date: 19 September 2019
Published in: Numerical Algorithms (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11075-018-0615-y
Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)
Cites Work
- Title not available (Why is that?)
- Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis
- \(A\)-stability and stochastic mean-square stability
- Numerical methods for strong solutions of stochastic differential equations: an overview
- Exponential mean square stability of numerical methods for systems of stochastic differential equations
- S-ROCK methods for stiff Itô SDEs
- A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
- S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations
- Second order Chebyshev methods based on orthogonal polynomials
- Weak second-order explicit stabilized methods for stiff stochastic differential equations
- Stabilized multilevel Monte Carlo method for stiff stochastic differential equations
- Mean-square \(A\)-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations
- Strong first order \(S\)-ROCK methods for stochastic differential equations
- Weak second order S-ROCK methods for Stratonovich stochastic differential equations
- Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations
Cited In (5)
- Explicit order \( \frac{3}{2} \) Runge-Kutta method for numerical solutions of stochastic differential equations by using Itô-Taylor expansion
- A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems
- Strong convergence of explicit schemes for highly nonlinear stochastic differential equations with Markovian switching
- Weak second-order conditions of Runge-Kutta method for stochastic optimal control problems
- Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations
Uses Software
This page was built for publication: New explicit stabilized stochastic Runge-Kutta methods with weak second order for stiff Itô stochastic differential equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2274162)
