Mean-square stability of a constructed Third-order stochastic Runge--Kutta schemes for general stochastic differential equations
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convergenceItô-Taylor expansionmean-square stabilitystochastic differential equationsstochastic Runge-Kutta schemes
Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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Cites work
- Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems
- Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise
- Diagonally drift-implicit Runge-Kutta methods of strong order one for stiff stochastic differential systems
- Exponential mean-square stability of numerical solutions for stochastic delay integro-differential equations with Poisson jump
- Fractional stochastic differential equations with applications to finance
- High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
- Higher-order implicit strong numerical schemes for stochastic differential equations
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- Mean-Square and Asymptotic Stability of the Stochastic Theta Method
- Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations
- Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
- Order conditions of stochastic Runge--Kutta methods by B-series
- Preserving asymptotic mean-square stability of stochastic theta scheme for systems of stochastic delay differential equations
- Runge-Kutta methods for Itô stochastic differential equations with scalar noise
- Runge-Kutta methods for numerical solution of stochastic differential equations
- Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
- Split-step forward methods for stochastic differential equations
- Stability Analysis of Numerical Schemes for Stochastic Differential Equations
- Stability analysis of split-step \(\theta \)-Milstein method for a class of \(n\)-dimensional stochastic differential equations
- Truncated ITÔ-Taylor expansions
- Two-stage stochastic Runge-Kutta methods for stochastic differential equations
- Two-step Milstein schemes for stochastic differential equations
- Two-step strong order 1.5 schemes for stochastic differential equations
- Weak Second Order Conditions for Stochastic Runge--Kutta Methods
Cited in
(5)- An explicit split-step truncated Milstein method for stochastic differential equations
- A modifieed split-step truncated Euler-Maruyama method for SDEs with non-globally Lipschitz continuous coefficients
- Construction and mean-square stability analysis of a new family of stochastic Runge-Kutta methods
- Mean square stability of numerical method for stochastic Volterra integral equations with double weakly singular kernels
- Three-stage stochastic Runge-Kutta methods for stochastic differential equations
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