Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family

DOI10.1016/j.apnum.2006.02.002zbMath1135.65003OpenAlexW2057975053MaRDI QIDQ870288

Yoshio Komori

Publication date: 12 March 2007

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2006.02.002

zbMATH Keywords

numerical examplesweak approximationStratonovich stochastic differential equationmulti-dimensional Wiener processRunge-Kutta type schemesweak order conditions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) 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)

Related Items (14)

Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations ⋮ General order conditions for stochastic partitioned Runge-Kutta methods ⋮ Weak order stochastic Runge-Kutta methods for commutative stochastic differential equations ⋮ Order conditions for stochastic Runge-Kutta methods preserving quadratic invariants of Stratonovich SDEs ⋮ Composition of stochastic B-series with applications to implicit Taylor methods ⋮ Formulae for Mixed Moments of Wiener Processes and a Stochastic Area Integral ⋮ High order numerical integrators for single integrand Stratonovich SDEs ⋮ Numerical investigation of stochastic canonical Hamiltonian systems by high order stochastic partitioned Runge-Kutta methods ⋮ Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise ⋮ Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process ⋮ Stochastic Runge-Kutta Rosenbrock type methods for SDE systems ⋮ Cheap arbitrary high order methods for single integrand SDEs ⋮ A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise ⋮ A new class of structure-preserving stochastic exponential Runge-Kutta integrators for stochastic differential equations

Uses Software

• RODAS

Cites Work

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