Stochastic Runge-Kutta methods for Itô sodes with small noise

DOI10.1137/090763275zbMATH Open1215.65013OpenAlexW2032748090MaRDI QIDQ2998009FDOQ2998009

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

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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)

Cited In (18)

• A-stability preserving perturbation of Runge-Kutta methods for stochastic differential equations
• Weak stochastic Runge-Kutta Munthe-Kaas methods for finite spin ensembles
• Efficient stochastic Runge-Kutta methods for stochastic differential equations with small noises
• 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
• A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
• Stabilized explicit methods for the approximation of stochastic systems driven by small additive noises
• 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
• Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations
• Tamed Runge-Kutta methods for SDEs with super-linearly growing drift and diffusion coefficients
• Runge-Kutta methods for jump-diffusion 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
• Nonlinear stability issues for stochastic Runge-Kutta methods
• Multistep methods for SDEs and their application to problems with small noise
• A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods
• Stochastic Runge-Kutta schemes for discretization of hysteretic models

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