Rooted tree analysis of the order conditions of row-type scheme for stochastic differential equations
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Publication:678212
DOI10.1007/BF02510172zbMath0876.65098MaRDI QIDQ678212
Sugiura, Hiroshi, Taketomo Mitsui, Yoshio Komori
Publication date: 20 November 1997
Published in: BIT (Search for Journal in Brave)
stability; stochastic differential equations; order conditions; rooted tree analysis; Rosenbrock-Wanner type numerical schemes; Stratonovich-Taylor expansion
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65C99: Probabilistic methods, stochastic differential equations
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Uses Software
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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