Stochastic Runge–Kutta Methods for Itô SODEs with Small Noise

DOI10.1137/090763275zbMath1215.65013MaRDI QIDQ2998009

Renate Winkler, Evelyn Buckwar, 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

numerical examples; mean-square convergence; stochastic Runge-Kutta methods; small noise; Itô stochastic differential equations; Maruyama method

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65L20: Stability and convergence of numerical methods for ordinary differential equations

34F05: Ordinary differential equations and systems with randomness

65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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