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

numerical examplesmean-square convergencestochastic Runge-Kutta methodssmall noiseMaruyama methodItô stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) 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)

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

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