Economical Runge-Kutta methods with strong global order one for stochastic differential equations

DOI10.1016/j.apnum.2010.09.001zbMath1206.65020MaRDI QIDQ617630

Francesco Aldo Costabile, Anna Napoli

Publication date: 21 January 2011

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

Full work available at URL: https://doi.org/10.1016/j.apnum.2010.09.001

zbMATH Keywords

stochastic Taylor expansion; numerical examples; numerical stability; mean-square stability; Stratonovich stochastic differential equations; economical Runge-Kutta schemes

Mathematics Subject Classification ID

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

65L20: Stability and convergence of numerical methods for ordinary differential equations

34F05: Ordinary differential equations and systems with randomness

65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations

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

65C30: Numerical solutions to stochastic differential and integral equations

Cites Work

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• High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Order Conditions of Stochastic Runge--Kutta Methods by B-Series
• Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations