Cheap arbitrary high order methods for single integrand SDEs

DOI10.1007/S10543-016-0619-8zbMath1364.65012arXiv1512.07342OpenAlexW3102286944MaRDI QIDQ512852

Kristian Debrabant, Anne Kværnø

Publication date: 2 March 2017

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.07342

zbMATH Keywords

stochastic differential equationRunge-Kutta methodsB-seriessingle integrand SDEs

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (7)

Continuous stage stochastic Runge-Kutta methods ⋮ Order conditions for stochastic Runge-Kutta methods preserving quadratic invariants of Stratonovich SDEs ⋮ An explicit order 2 scheme for the strong approximation of Stratonovich stochastic differential equations with scalar noise ⋮ Arbitrary high-order EQUIP methods for stochastic canonical Hamiltonian systems ⋮ High order numerical integrators for single integrand Stratonovich SDEs ⋮ The Magnus expansion for stochastic differential equations ⋮ High-Order Energy-Preserving Methods for Stochastic Poisson Systems

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