Supplement: Efficient weak second order stochastic Runge-Kutta methods for non-commutative Stratonovich stochastic differential equations

DOI10.1016/J.CAM.2011.04.021zbMATH Open1218.65011OpenAlexW1979723231MaRDI QIDQ633989FDOQ633989

Authors: Yoshio Komori, Kevin Burrage 

Publication date: 2 August 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2011.04.021

Recommendations

• Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations
• Second order Runge-Kutta methods for Stratonovich stochastic differential equations
• Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations
• Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise.
• Weak order stochastic Runge-Kutta methods for commutative stochastic differential equations

zbMATH Keywords

multiplicative noiseweak approximationorder conditions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical methods for initial value problems involving ordinary differential equations (65L05)

Cites Work

• Mersenne twister
• Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations
• Order conditions of stochastic Runge--Kutta methods by B-series
• Families of efficient second order Runge-Kutta methods for the weak approximation of Itô stochastic differential equations
• Second order Runge-Kutta methods for Stratonovich stochastic differential equations

Cited In (6)

• Weak second order S-ROCK methods for Stratonovich stochastic differential equations
• The truncated Milstein method for stochastic differential equations with commutative noise
• Adaptive time-stepping for the strong numerical solution of stochastic differential equations
• Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations
• Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations
• Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations

Uses Software

• MersenneTwister

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