Stochastic Runge-Kutta Rosenbrock type methods for SDE systems

DOI10.1016/J.APNUM.2016.11.010MaRDI QIDQ512288zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 940566 (Why is no real title available?)
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• scientific article; zbMATH DE number 1909481 (Why is no real title available?)
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• Composition of stochastic B-series with applications to implicit Taylor methods
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• Families of efficient second order Runge-Kutta methods for the weak approximation of Itô stochastic differential equations
• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
• Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family
• Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
• Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
• Second order Runge-Kutta methods for Itô stochastic differential equations
• Second order Runge-Kutta methods for Stratonovich stochastic differential equations
• Second order weak Runge-Kutta type methods for Itô equations
• Stochastic Taylor Expansions for Functionals of Diffusion Processes
• Stochastic Taylor Expansions for the Expectation of Functionals of Diffusion Processes
• Weak Second Order Conditions for Stochastic Runge--Kutta Methods
• Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process
• Weak order stochastic Runge-Kutta methods for commutative stochastic differential equations
• Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations

Cited in

(8)

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

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