Rooted tree analysis of the order conditions of row-type scheme for stochastic differential equations

DOI10.1007/BF02510172zbMath0876.65098MaRDI QIDQ678212

Yoshio Komori, Taketomo Mitsui, Sugiura, Hiroshi

Publication date: 20 November 1997

Published in: BIT (Search for Journal in Brave)

zbMATH Keywords

stabilitystochastic differential equationsorder conditionsrooted tree analysisRosenbrock-Wanner type numerical schemesStratonovich-Taylor expansion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99)

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Uses Software

• RODAS

Cites Work

• Generalized Runge-Kutta methods of order four with stepsize control for stiff ordinary differential equations
• A study of Rosenbrock-type methods of high order
• On weak implicit and predictor-corrector methods
• Higher-Order Weak Approximation of Ito Diffusions by Markov Chains
• Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
• Stability of weak numerical schemes for stochastic differential equations
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