Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations

DOI10.1016/J.CAM.2006.06.006MaRDI QIDQ2370574zbMATH OpenOpenAlexWikidataFDO

Authors Yoshio Komori

Publication date 29 June 2007

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.2006.06.006

zbMATH Keywords

(SDEs)derivative-freeexplicit stochastic Runge-Kutta schememulti-colored rooted treemulti-dimensional Wiener processmultiplicative noisenumerical experimentsStratonovich SDEs

Mathematics Subject Classification ID

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)

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Cites work

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Cited in

(28)

• Families of efficient second order Runge-Kutta methods for the weak approximation of Itô stochastic differential equations
• The truncated Milstein method for stochastic differential equations with commutative noise
• Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise
• Asymptotically optimal approximation of some stochastic integrals and its applications to the strong second-order methods
• Mean-square \(A\)-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations
• Second order Runge-Kutta methods for Stratonovich stochastic differential equations
• A class of new Magnus-type methods for semi-linear non-commutative Itô stochastic differential equations
• High strong order stochastic Runge-Kutta methods for Stratonovich stochastic differential equations with scalar noise
• New ROW-type scheme with weak order 2 for approximating stochastic differential equations
• Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations
• Weak second order S-ROCK methods for Stratonovich stochastic differential equations
• A micro-macro acceleration method for the Monte Carlo simulation of stochastic differential equations
• Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations
• Stochastic Runge-Kutta Rosenbrock type methods for SDE systems
• Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations
• Efficient stochastic Runge-Kutta methods for stochastic differential equations with small noises
• Higher order weak linearizations of stochastically driven nonlinear oscillators
• scientific article; zbMATH DE number 7485185 (Why is no real title available?)
• Supplement: Efficient weak second order stochastic Runge-Kutta methods for non-commutative Stratonovich stochastic differential equations
• Weak second-order conditions of Runge-Kutta method for stochastic optimal control problems
• A class of stochastic Runge-Kutta methods for stochastic differential equations converging uniformly with order 1 in L^p-norm
• Diagonally drift-implicit Runge-Kutta methods of strong order one for stiff stochastic differential systems
• Weak order stochastic Runge-Kutta methods for commutative stochastic differential equations
• Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process
• Low-storage Runge-Kutta methods for stochastic differential equations
• Weak forms of the locally transversal linearization (LTL) technique for stochastically driven nonlinear oscillators
• A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
• High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula

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