Stochastic Runge-Kutta Rosenbrock type methods for SDE systems

DOI10.1016/J.APNUM.2016.11.010zbMATH Open1358.65006OpenAlexW2560259590MaRDI QIDQ512288FDOQ512288

Authors: Sadegh Amiri, S. Mohammad Hosseini 

Publication date: 24 February 2017

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

Full work available at URL: https://doi.org/10.1016/j.apnum.2016.11.010

Recommendations

• Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
• Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations
• Second order Runge-Kutta methods for Itô stochastic differential equations
• Second order Runge-Kutta methods for Stratonovich stochastic differential equations
• Three-stage stochastic Runge-Kutta methods for stochastic differential equations

zbMATH Keywords

numerical examplesstochastic differential equationsorder conditionssemi-implicit methodscomputational effortstochastic B-seriesstochastic Runge-Kutta Rosenbrock-type methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) 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)

Cites Work

• Title not available (Why is that?)
• Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis
• Second order Runge-Kutta methods for Itô stochastic differential equations
• Title not available (Why is that?)
• Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations
• Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
• B–Series Analysis of Stochastic Runge–Kutta Methods That Use an Iterative Scheme to Compute Their Internal Stage Values
• Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
• 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
• Title not available (Why is that?)
• Stochastic Taylor Expansions for the Expectation of Functionals of Diffusion Processes
• 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
• Stochastic Taylor Expansions for Functionals of Diffusion Processes
• Classification of stochastic Runge-Kutta methods for the weak approximation of stochastic differential equations
• Second order weak Runge-Kutta type methods for Itô equations
• Composition of stochastic B-series with applications to implicit Taylor methods
• B-series analysis of iterated Taylor methods
• Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family

Cited In (8)

• Continuous stage stochastic Runge-Kutta methods
• Issues in the Software Implementation of Stochastic Numerical Runge–Kutta
• A Runge-Kutta type scheme for nonlinear stochastic partial differential equations with multiplicative trace class noise
• Truncated Milstein method for non-autonomous stochastic differential equations and its modification
• Some drift exponentially fitted stochastic Runge-Kutta methods for solving Itô SDE systems
• New S-ROCK methods for stochastic differential equations with commutative noise
• A class of balanced stochastic Runge-Kutta methods for stiff SDE systems
• Study on split-step Rosenbrock type method for stiff stochastic differential systems

This page was built for publication: Stochastic Runge-Kutta Rosenbrock type methods for SDE systems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q512288)