On a class of stochastic Runge Kutta methods

zbMATH Open1259.60060MaRDI QIDQ3145648FDOQ3145648

Authors: Anna Napoli 

Publication date: 21 December 2012

Full work available at URL: http://www.m-hikari.com/ijcms/ijcms-2012/33-36-2012/index.html

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zbMATH Keywords

stochastic differential equationsweak approximationstochastic Runge-Kutta methodseconomical methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cited In (21)

• Numerical solution of stochastic differential equations with additive noise by Runge-Kutta methods
• Stochastic Runge-Kutta method with weak and strong convergency
• A family of three-stage stochastic Runge-Kutta methods with order two and their stability
• A class of second-order Runge-Kutta methods for numerical solution of stochastic differential equations
• A quasi-randomized Runge-Kutta method
• Weak second-order conditions of Runge-Kutta method for stochastic optimal control problems
• B–Series Analysis of Stochastic Runge–Kutta Methods That Use an Iterative Scheme to Compute Their Internal Stage Values
• Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations
• Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations
• Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
• Economical Runge-Kutta methods with strong global order one for stochastic differential equations
• Runge-Kutta Lawson schemes for stochastic differential equations
• Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations
• Three-stage stochastic Runge-Kutta methods for stochastic differential equations
• Issues in the Software Implementation of Stochastic Numerical Runge–Kutta
• Economical Runge-Kutta methods for numerical solution of stochastic differential equations
• A Runge-Kutta type scheme for nonlinear stochastic partial differential equations with multiplicative trace class noise
• Economical Runge-Kutta methods with weak second order for stochastic differential equations
• Title not available (Why is that?)
• A class of balanced stochastic Runge-Kutta methods for stiff SDE systems
• Runge-Kutta methods for numerical solution of stochastic differential equations

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