A Runge-Kutta method for index 1 stochastic differential-algebraic equations with scalar noise

DOI10.1007/S10543-011-0354-0MaRDI QIDQ438712zbMATH OpenOpenAlexFDO

Authors Dominique Küpper, Anne Kværnø, Andreas Rößler

Publication date 31 July 2012

Published in BIT (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10543-011-0354-0

zbMATH Keywords

mean-square convergencemean-square stabilitynumerical examplesstiffly accuratestochastic differential-algebraic equationstochastic Runge-Kutta methodWiener process

Mathematics Subject Classification ID

Implicit ordinary differential equations, differential-algebraic equations (34A09) Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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) Numerical methods for differential-algebraic equations (65L80)

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Cites work

• B–Series Analysis of Stochastic Runge–Kutta Methods That Use an Iterative Scheme to Compute Their Internal Stage Values
• Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis
• Diagonally Implicit Runge–Kutta Methods for Stiff O.D.E.’s
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• Implicit stochastic Runge-Kutta methods for stochastic differential equations
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• Numerical solution of stochastic differential-algebraic equations with applications to transient noise simulation of microelectronic circuits
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• Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Stochastic differential algebraic equations of index 1 and applications in circuit simulation.
• Stochastic Taylor Expansions for Functionals of Diffusion Processes
• The numerical solution of differential-algebraic systems by Runge-Kutta methods

Cited in

(9)

• A Runge-Kutta type scheme for nonlinear stochastic partial differential equations with multiplicative trace class noise
• Stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential algebraic equations
• Stability analysis of high order Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise
• Some derivative-free solvers for numerical solution of SODEs
• A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise
• Order conditions for sampling the invariant measure of ergodic stochastic differential equations on manifolds
• Stability analysis and classification of Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise
• Runge-Kutta methods for stochastic differential-algebraic equations
• Hopf algebra structures for the backward error analysis of ergodic stochastic differential equations

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