Stochastic Runge-Kutta methods for Itô sodes with small noise

DOI10.1137/090763275MaRDI QIDQ2998009zbMATH OpenOpenAlexFDO

Authors Evelyn Buckwar, Renate Winkler, Andreas Rößler

Publication date 17 May 2011

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/090763275

zbMATH Keywords

Itô stochastic differential equationsMaruyama methodmean-square convergencenumerical examplessmall noisestochastic Runge-Kutta methods

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) 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) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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Cited in

(18)

• A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods
• Stabilized explicit methods for the approximation of stochastic systems driven by small additive noises
• A-stability preserving perturbation of Runge-Kutta methods for stochastic differential equations
• Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition
• Nonlinear stability issues for stochastic Runge-Kutta methods
• Tamed Runge-Kutta methods for SDEs with super-linearly growing drift and diffusion coefficients
• Weak stochastic Runge-Kutta Munthe-Kaas methods for finite spin ensembles
• Coefficients of Runge-Kutta Schemes for Itô Stochastic Differential Equations
• High strong order stochastic Runge-Kutta methods for Stratonovich stochastic differential equations with scalar noise
• A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems
• A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems
• Stochastic Runge-Kutta schemes for discretization of hysteretic models
• 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
• Multistep methods for SDEs and their application to problems with small noise
• A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
• Runge-Kutta methods for jump-diffusion differential equations
• Improved linear multi-step methods for stochastic ordinary differential equations

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