Weak order stochastic Runge-Kutta methods for commutative stochastic differential equations

DOI10.1016/J.CAM.2006.03.010MaRDI QIDQ875154zbMATH OpenOpenAlexWikidataFDO

Authors Yoshio Komori

Publication date 11 April 2007

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.2006.03.010

zbMATH Keywords

numerical experimentsmultiplicative noisecomparison of methodsderivative-freecommutativity conditionmulti-dimensional Wiener processexplicit stochastic Runge-Kutta scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

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Cites work

• scientific article; zbMATH DE number 2034460 (Why is no real title available?)
• scientific article; zbMATH DE number 940566 (Why is no real title available?)
• scientific article; zbMATH DE number 1909481 (Why is no real title available?)
• scientific article; zbMATH DE number 822846 (Why is no real title available?)
• General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems
• Higher-Order Weak Approximation of Ito Diffusions by Markov Chains
• Higher-order implicit strong numerical schemes for stochastic differential equations
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• Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
• Numerical methods for strong solutions of stochastic differential equations: an overview
• Order conditions of stochastic Runge--Kutta methods by B-series
• Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
• Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise.
• Runge-Kutta methods for numerical solution of stochastic differential equations
• Stahle ROW-Type Weak Scheme for Stochastic Differential Equations
• Weak Approximation of Solutions of Systems of Stochastic Differential Equations
• Weak Second Order Conditions for Stochastic Runge--Kutta Methods

Cited in

(15)

• Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies
• A weak order one stochastic Runge-Kutta method
• scientific article; zbMATH DE number 7485185 (Why is no real title available?)
• Symplectic conditions and stochastic generating functions of stochastic Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise
• Weak second order S-ROCK methods for Stratonovich stochastic differential equations
• Adaptive time-stepping for the strong numerical solution of stochastic differential equations
• Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family
• New S-ROCK methods for stochastic differential equations with commutative noise
• Supplement: Efficient weak second order stochastic Runge-Kutta methods for non-commutative Stratonovich stochastic differential equations
• Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations
• Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
• The truncated Milstein method for stochastic differential equations with commutative noise
• A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
• Stochastic Runge-Kutta Rosenbrock type methods for SDE systems
• Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process

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