Predictor-Corrector Methods of Runge--Kutta Type for Stochastic Differential Equations

DOI10.1137/S0036142900372677zbMath1026.60075MaRDI QIDQ4785826

Kevin Burrage, Tianhai Tian

Publication date: 5 January 2003

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

zbMATH Keywords

numerical stability; Runge-Kutta methods; predictor-corrector methods; Stratonovich stochastic differential equations; asymptotic mean-square stability

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65L20: Stability and convergence of numerical methods for ordinary differential equations

65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations

65C30: Numerical solutions to stochastic differential and integral equations

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