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

DOI10.1016/j.cam.2011.04.021zbMath1218.65011OpenAlexW1979723231MaRDI QIDQ633989

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

zbMATH Keywords

weak approximationorder conditionsmultiplicative noise

Mathematics Subject Classification ID

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

Related Items (5)

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

Uses Software

• MersenneTwister

Cites Work

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

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