New S-ROCK methods for stochastic differential equations with commutative noise

DOI10.22067/IJNAO.V9I1.69454MaRDI QIDQ3389576zbMATH OpenOpenAlexFDO

Authors

Publication date 23 March 2022

Full work available at URL https://ijnao.um.ac.ir/article_24806_e91d1901ef10e00b53e9ef5e361e2a1b.pdf

zbMATH Keywords

commutative noiseRunge-Kutta methodsstiff equationsstochastic differential equationsstochastic mean square stability

Mathematics Subject Classification ID

Numerical analysis (65-XX) Operations research, mathematical programming (90-XX)

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Cites work

• A bound on the maximum strong order of stochastic Runge-Kutta methods for stochastic ordinary differential equations
• A revisit of stochastic theta method with some improvements
• Adaptive time-stepping for the strong numerical solution of stochastic differential equations
• General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 2114382 (Why is no real title available?)
• Iterative methods for nonlinear systems associated with finite difference approach in stochastic differential equations
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Numerical methods for strong solutions of stochastic differential equations: an overview
• Optimal stability polynomials
• Rooted tree analysis of the order conditions of row-type scheme for stochastic differential equations
• Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
• S-ROCK methods for stiff Itô SDEs
• S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations
• Second order Chebyshev methods based on orthogonal polynomials
• Second order Runge-Kutta methods for Itô stochastic differential equations
• Stochastic differential calculus for Gaussian and non-Gaussian noises: a critical review
• Strong approximation for Itô stochastic differential equations
• Strong first order S-ROCK methods for stochastic differential equations

Cited in

(3)

• Strong first order S-ROCK methods for stochastic differential equations
• A class of new Magnus-type methods for semi-linear non-commutative Itô stochastic differential equations
• A class of stochastic Runge-Kutta methods for stochastic differential equations converging uniformly with order 1 in L^p-norm

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