Efficient Stochastic Runge-Kutta Methods for Stochastic Differential Equations with Small Noises
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Publication:5156593
DOI10.4208/aamm.OA-2017-0181zbMath1499.65306OpenAlexW2917469371WikidataQ128356912 ScholiaQ128356912MaRDI QIDQ5156593
Publication date: 11 October 2021
Published in: Advances in Applied Mathematics and Mechanics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4208/aamm.oa-2017-0181
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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A Fully Discrete Explicit Multistep Scheme for Solving Coupled Forward Backward Stochastic Differential Equations ⋮ Strong convergence of explicit schemes for highly nonlinear stochastic differential equations with Markovian switching
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