Runge-Kutta methods for jump-diffusion differential equations

DOI10.1016/j.cam.2011.08.001zbMath1252.65010OpenAlexW2033608413MaRDI QIDQ654140

Evelyn Buckwar, Martin Georg Riedler

Publication date: 21 December 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.2011.08.001

zbMATH Keywords

diffusionnumerical examplesRunge-Kutta methodsmean-square convergencejumpsmall noise

Mathematics Subject Classification ID

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) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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