B–Series Analysis of Stochastic Runge–Kutta Methods That Use an Iterative Scheme to Compute Their Internal Stage Values

DOI10.1137/070704307zbMath1188.65006OpenAlexW1968527454MaRDI QIDQ5305927

Kristian Debrabant, Anne Kværnø

Publication date: 24 March 2010

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/070704307

zbMATH Keywords

stochastic differential equationNewton's methoditerative schemeorderweak approximationstrong approximationgrowth functionsstochastic Runge-Kutta methodstochastic B-seriescomposite methodinternal stage values

Mathematics Subject Classification ID

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