Stability analysis and classification of Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise

DOI10.1016/j.apnum.2015.04.003zbMath1321.65013arXiv1311.0809MaRDI QIDQ492922

Andreas Rößler, Anne Kværnø, Dominique Küpper

Publication date: 21 August 2015

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.0809

zbMATH Keywords

classification; \(A\)-stability; mean-square stability; stochastic differential-algebraic equation; stochastic Runge-Kutta method

Mathematics Subject Classification ID

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

34A09: Implicit ordinary differential equations, differential-algebraic equations

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

34F05: Ordinary differential equations and systems with randomness

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

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

65L80: Numerical methods for differential-algebraic equations

Related Items

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, A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise

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