Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
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Publication:5392396
DOI10.1137/09076636XzbMath1231.65015OpenAlexW2160619958MaRDI QIDQ5392396
Publication date: 11 April 2011
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/09076636x
stochastic differential equationconvergencestrong approximationadditive noisestochastic Runge-Kutta methodcommutative noisemulticolored rooted tree analysisdiagonal noise
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) 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)
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