Runge-Kutta methods for stochastic differential-algebraic equations

zbMATH Open1183.65006MaRDI QIDQ5850874FDOQ5850874

Authors: Dominique Küpper 

Publication date: 20 January 2010

Full work available at URL: http://d-nb.info/999151053/34

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zbMATH Keywords

convergenceindexnumerical examplesWiener processcomplexitystochastic differential equationsstrong and weak convergenceorder conditionscircuit simulationdifferential-algebraic equations (DAEs)colored rooted tree theorystochastic DAEsstochastic Runge-Kutta (SRK) methods

Mathematics Subject Classification ID

Numerical methods for differential-algebraic equations (65L80) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Implicit ordinary differential equations, differential-algebraic equations (34A09) 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) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Cited In (10)

• A Runge-Kutta method for index 1 stochastic differential-algebraic equations with scalar noise
• Coefficients of Runge-Kutta Schemes for Itô Stochastic Differential Equations
• Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
• Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations
• Three-stage stochastic Runge-Kutta methods for stochastic differential equations
• Runge-Kutta schemes for backward stochastic differential equations
• Stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential algebraic equations
• Stability analysis of high order Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise
• Stability analysis and classification of Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise
• Title not available (Why is that?)

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