Order Conditions of Stochastic Runge--Kutta Methods by B-Series
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Publication:2706380
DOI10.1137/S0036142999363206zbMath0983.65006OpenAlexW2082618321MaRDI QIDQ2706380
Kevin Burrage, Pamela M. Burrage
Publication date: 19 March 2001
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0036142999363206
global convergenceorder conditionsStratonovich stochastic differential equationB-seriesstochastic Runge-Kutta methods
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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