A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise
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Publication:2516804
A-stabilitymean-square stabilitystiff systemstochastic differential equationsstochastic Runge-Kutta methodsstrong approximation
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) Numerical methods for stiff equations (65L04) 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
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- High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise
- High weak order methods for stochastic differential equations based on modified equations
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(18)- \(A\)-stability of Runge-Kutta methods for systems with additive noise
- Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise
- Mean-square numerical approximations to random periodic solutions of stochastic differential equations
- Dynamical analysis in explicit continuous iteration algorithm and its applications
- A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
- A Runge-Kutta type scheme for nonlinear stochastic partial differential equations with multiplicative trace class noise
- Convergence and asymptotical stability of numerical solutions for neutral stochastic delay differential equations driven by \(G\)-Brownian motion
- Numerical study on stochastic diabetes mellitus model with additive noise
- A-stability preserving perturbation of Runge-Kutta methods for stochastic differential equations
- Solving the stochastic differential systems with modified split-step Euler-Maruyama method
- Stability analysis of high order Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise
- Numerical study on Zika epidemic early warning algorithms driven by dynamical network biomarker
- A class of balanced stochastic Runge-Kutta methods for stiff SDE systems
- Analytical and numerical investigation of stochastic differential equations with applications using an exponential Euler-Maruyama approach
- Study on split-step Rosenbrock type method for stiff stochastic differential systems
- Stochastic shadowing analysis of a class of stochastic differential equations
- Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations
- Strong stability-preserving three-derivative Runge-Kutta methods
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