High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations

DOI10.1016/S0168-9274(96)00027-XzbMATH Open0868.65101OpenAlexW1982439384MaRDI QIDQ5961735FDOQ5961735

Pamela M. Burrage, Kevin Burrage

Publication date: 5 August 1997

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0168-9274(96)00027-x

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zbMATH Keywords

stochastic differential equationsexplicit Runge-Kutta methodstwo stage methodfour stage method

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

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Cited In (98)

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• High weak order methods for stochastic differential equations based on modified equations
• Accurate particle time integration for solving Vlasov-Fokker-Planck equations with specified electromagnetic fields
• Parameter Estimation in Stochastic Differential Equations
• The modified dual reciprocity boundary elements method and its application for solving stochastic partial differential equations
• Adaptive schemes for the numerical solution of SDEs -- a comparison
• B-convergence: A survey
• Concentration effects in mesoscopic simulation of coarsening
• Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
• Mesoscopic simulation of Ostwald ripening
• Evaluating methods for approximating stochastic differential equations
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• A note on the balanced method
• Second order Runge-Kutta methods for Stratonovich stochastic differential equations
• STOCHASTIC PARTITIONED AVERAGED VECTOR FIELD METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH A CONSERVED QUANTITY
• Classification of stochastic Runge-Kutta methods for the weak approximation of stochastic differential equations
• High strong order stochastic Runge-Kutta methods for Stratonovich stochastic differential equations with scalar noise
• Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations
• Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
• A new adaptive Runge-Kutta method for stochastic differential equations
• Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise
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• Economical Runge-Kutta methods with strong global order one for stochastic differential equations
• Runge-Kutta methods for affinely controlled nonlinear systems
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• The composite Milstein methods for the numerical solution of Stratonovich stochastic differential equations
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• Implicit Taylor methods for stiff stochastic differential equations
• The composite Euler method for stiff stochastic differential equations
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• A piezoelectric energy harvester based on internal resonance
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• The composite Milstein methods for the numerical solution of Itô stochastic differential equations
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• Strong-order conditions of Runge-Kutta method for stochastic optimal control problems
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• Stochastic Runge-Kutta Rosenbrock type methods for SDE systems
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• Fast indirect robust generalized method of moments
• Composition of stochastic B-series with applications to implicit Taylor methods
• B-series analysis of iterated Taylor methods
• Stochastic discrete Hamiltonian variational integrators
• Application of the Heston stochastic volatility model for Borsa Istanbul using impression matrix norm
• Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family
• Mean-square stability of a constructed Third-order stochastic Runge--Kutta schemes for general stochastic differential equations
• Numerical solution of stochastic differential problems in the biosciences
• Weak forms of the locally transversal linearization (LTL) technique for stochastically driven nonlinear oscillators
• General order conditions for stochastic partitioned Runge-Kutta methods
• Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
• A new class of structure-preserving stochastic exponential Runge-Kutta integrators for stochastic differential equations
• The aromatic bicomplex for the description of divergence-free aromatic forms and volume-preserving integrators
• Adaptive methods for stochastic differential equations via natural embeddings and rejection sampling with memory
• Arbitrary high-order EQUIP methods for stochastic canonical Hamiltonian systems
• Exotic aromatic B-series for the study of long time integrators for a class of ergodic SDEs
• High order numerical integrators for single integrand Stratonovich SDEs
• Delay-dependent stability of predictor-corrector methods of Runge-Kutta type for stochastic delay differential equations
• Data-driven structure-preserving model reduction for stochastic Hamiltonian systems
• Asymptotically optimal approximation of some stochastic integrals and its applications to the strong second-order methods
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• Modeling the lake eutrophication stochastic ecosystem and the research of its stability
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• Persistence and extinction in stochastic delay logistic equation by incorporating Ornstein-Uhlenbeck process
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• Jump-Diffusion Approximation of Stochastic Reaction Dynamics: Error Bounds and Algorithms
• Order conditions for sampling the invariant measure of ergodic stochastic differential equations on manifolds
• An explicit order 2 scheme for the strong approximation of Stratonovich stochastic differential equations with scalar noise
• A discontinuous Galerkin method for systems of stochastic differential equations with applications to population biology, finance, and physics
• Two-step Runge-Kutta methods for stochastic differential equations
• Minimal truncation error constants for Runge-Kutta method for stochastic optimal control problems
• Discrete stochastic port-Hamiltonian systems
• High-Order Energy-Preserving Methods for Stochastic Poisson Systems
• Asymptotic mean square stability of predictor-corrector methods for stochastic delay ordinary and partial differential equations

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