Second order weak Runge-Kutta type methods for Itô equations

DOI10.1016/S0378-4754(00)00284-6zbMath0990.65006MaRDI QIDQ5944018

Jurgis Navikas, Vigirdas Mackevičius

Publication date: 25 March 2002

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

Itô stochastic differential equation; Runge-Kutta type methods

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Stochastic Runge-Kutta Rosenbrock type methods for SDE systems, Weak second-order splitting schemes for Lagrangian Monte Carlo particle methods for the composition PDF/FDF transport equations, Families of efficient second order Runge-Kutta methods for the weak approximation of Itô stochastic differential equations, Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise, On Runge-Kutta-type methods for two-dimensional stochastic differential equations, Classification of stochastic Runge-Kutta methods for the weak approximation of stochastic differential equations, Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations

Cites Work

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• Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution