An explicit order 2 scheme for the strong approximation of Stratonovich stochastic differential equations with scalar noise

DOI10.1002/num.22769OpenAlexW3128920610WikidataQ115397373 ScholiaQ115397373MaRDI QIDQ6085257

Hande Günay Akdemir

Publication date: 12 December 2023

Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/num.22769

zbMATH Keywords

Stratonovich stochastic differential equationsstochastic Runge-Kutta methodsscalar noisestrong order of convergence

Mathematics Subject Classification ID

Numerical analysis (65-XX) Partial differential equations (35-XX)

Cites Work

• Unnamed Item
• High strong order stochastic Runge-Kutta methods for Stratonovich stochastic differential equations with scalar noise
• Cheap arbitrary high order methods for single integrand SDEs
• Economical Runge-Kutta methods with strong global order one for stochastic differential equations
• Diagonally drift-implicit Runge-Kutta methods of strong order one for stiff stochastic differential systems
• Strong-order conditions of Runge-Kutta method for stochastic optimal control problems
• High order numerical integrators for single integrand Stratonovich SDEs
• Order conditions for stochastic Runge-Kutta methods preserving quadratic invariants of Stratonovich SDEs
• Order Conditions of Stochastic Runge--Kutta Methods by B-Series
• Explicit Order 1.5 Schemes for the Strong Approximation of Itô Stochastic Differential Equations
• Asymptotically Efficient Runge-Kutta Methods for a Class of Itô and Stratonovich Equations
• Second Order Runge–Kutta Methods for Itô Stochastic Differential Equations
• Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
• Strong Runge-Kutta Methods With order one for Numerical Solution of Ito Stochastic Differential Equations
• Coefficients for the study of Runge-Kutta integration processes
• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations

This page was built for publication: An explicit order 2 scheme for the strong approximation of Stratonovich stochastic differential equations with scalar noise