Weak second order S-ROCK methods for Stratonovich stochastic differential equations

DOI10.1016/J.CAM.2012.01.033zbMATH Open1238.60063OpenAlexW2076082225MaRDI QIDQ413734FDOQ413734

Authors: Yoshio Komori, Kevin Burrage 

Publication date: 7 May 2012

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.01.033

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zbMATH Keywords

mean square stabilityexplicit methodstochastic orthogonal Runge-Kutta Chebyshev method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical methods for initial value problems involving ordinary differential equations (65L05)

Cites Work

• Mersenne twister
• Title not available (Why is that?)
• Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• S-ROCK methods for stiff Itô SDEs
• Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations
• S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations
• High order explicit methods for parabolic equations
• Fourth order Chebyshev methods with recurrence relation
• On the Internal Stability of Explicit,m-Stage Runge-Kutta Methods for Largem-Values
• A new method for determining the roots of polynomials of least deviation on a segment with weight and subject to additional conditions. Part I
• A new method for determining the roots of polynomials of least deviation on a segment with weight and subject to additional conditions. Part II
• Second order Chebyshev methods based on orthogonal polynomials
• Families of efficient second order Runge-Kutta methods for the weak approximation of Itô stochastic differential equations
• Second order Runge-Kutta methods for Stratonovich stochastic differential equations
• Weak Second Order Conditions for Stochastic Runge--Kutta Methods
• Stahle ROW-Type Weak Scheme for Stochastic Differential Equations
• Supplement: Efficient weak second order stochastic Runge-Kutta methods for non-commutative Stratonovich stochastic differential equations
• Some issues in discrete approximate solution for stochastic differential equations
• Optimal stability polynomials
• Zolotarev polynomials and extremum problems
• Weak order stochastic Runge-Kutta methods for commutative stochastic differential equations
• Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process

Cited In (18)

• S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations
• S-ROCK methods for stochastic delay differential equations with one fixed delay
• Split S-ROCK methods for high-dimensional stochastic differential equations
• Efficiency of a micro-macro acceleration method for scale-separated stochastic differential equations
• Weak second-order explicit stabilized methods for stiff stochastic differential equations
• Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations
• A class of new Magnus-type methods for semi-linear non-commutative Itô stochastic differential equations
• Strong first order \(S\)-ROCK methods for stochastic differential equations
• S-ROCK methods for stiff Itô SDEs
• Asymptotic mean-square stability of explicit Runge-Kutta Maruyama methods for stochastic delay differential equations
• A stochastic exponential Euler scheme for simulation of stiff biochemical reaction systems
• Accurate stationary densities with partitioned numerical methods for stochastic partial differential equations
• New explicit stabilized stochastic Runge-Kutta methods with weak second order for stiff Itô stochastic differential equations
• Weak order drift-implicit Runge-Kutta methods for stochastic differential equations
• New S-ROCK methods for stochastic differential equations with commutative noise
• Analytical and numerical investigation of stochastic differential equations with applications using an exponential Euler-Maruyama approach
• Mean square stability of stochastic theta method for stochastic differential equations driven by fractional Brownian motion
• Numerical integration of ordinary differential equations with rapidly oscillatory factors

Uses Software

• MersenneTwister
• S-ROCK

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