Second Order Runge–Kutta Methods for Itô Stochastic Differential Equations

DOI10.1137/060673308zbMath1193.65006OpenAlexW2112328746MaRDI QIDQ3578051

Andreas Rößler

Publication date: 13 July 2010

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/060673308

zbMATH Keywords

stochastic differential equationweak convergencenumerical examplesweak approximationorder conditionsstochastic Runge-Kutta methodmultidimensional Wiener processmulticolored rooted tree analysis

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (34)

Linear mean-square stability properties of semi-implicit weak order 2.0 Taylor schemes for systems of stochastic differential equations ⋮ Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise ⋮ Stochastic multi-symplectic Runge-Kutta methods for stochastic Hamiltonian PDEs ⋮ Numerical method for the simulation of the Brownian dynamics of rod-like microstructures with three-dimensional nonlinear beam elements ⋮ High strong order stochastic Runge-Kutta methods for Stratonovich stochastic differential equations with scalar noise ⋮ Numerical Methods for Stochastic Simulation: When Stochastic Integration Meets Geometric Numerical Integration ⋮ Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations ⋮ Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies ⋮ Enhancing the Order of the Milstein Scheme for Stochastic Partial Differential Equations with Commutative Noise ⋮ On the Acceleration of the Multi-Level Monte Carlo Method ⋮ New S-ROCK methods for stochastic differential equations with commutative noise ⋮ A derivative-free Milstein type approximation method for SPDEs covering the non-commutative noise case ⋮ A convergent wavelet-based method for solving linear stochastic differential equations included 1D and 2D noise ⋮ An explicit order 2 scheme for the strong approximation of Stratonovich stochastic differential equations with scalar noise ⋮ Continuous Markovian model for Lévy random walks with superdiffusive and superballistic regimes ⋮ Asymptotic mean-square stability of explicit Runge-Kutta Maruyama methods for stochastic delay differential equations ⋮ Mean-square \(A\)-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations ⋮ Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise ⋮ A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems ⋮ Method of lines for stochastic boundary-value problems with additive noise ⋮ Efficient Stochastic Runge-Kutta Methods for Stochastic Differential Equations with Small Noises ⋮ Mean-square stability of 1.5 strong convergence orders of diagonally drift Runge-Kutta methods for a class of stochastic differential equations ⋮ Stochastic Runge-Kutta Rosenbrock type methods for SDE systems ⋮ Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations ⋮ Asymptotically optimal approximation of some stochastic integrals and its applications to the strong second-order methods ⋮ Runge-Kutta Lawson schemes for stochastic differential equations ⋮ Stability analysis of high order Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise ⋮ Tamed Runge-Kutta methods for SDEs with super-linearly growing drift and diffusion coefficients ⋮ Diagonally drift-implicit Runge-Kutta methods of strong order one for stiff stochastic differential systems ⋮ Stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential algebraic equations ⋮ Parareal Exponential $\theta$-Scheme for Longtime Simulation of Stochastic Schrödinger Equations with Weak Damping ⋮ Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems ⋮ Adaptive time-stepping for the strong numerical solution of stochastic differential equations ⋮ A class of balanced stochastic Runge-Kutta methods for stiff SDE systems

This page was built for publication: Second Order Runge–Kutta Methods for Itô Stochastic Differential Equations