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

DOI10.1016/J.CAM.2006.03.010zbMATH Open1112.65005OpenAlexW2090474156WikidataQ29307232 ScholiaQ29307232MaRDI QIDQ875154FDOQ875154

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

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• Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process
• A weak order one stochastic Runge-Kutta method

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)

Cites Work

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• Higher-order implicit strong numerical schemes for stochastic differential equations
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• Numerical methods for strong solutions of stochastic differential equations: an overview
• Weak Approximation of Solutions of Systems of Stochastic Differential Equations
• General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems
• 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
• Title not available (Why is that?)
• Weak Second Order Conditions for Stochastic Runge--Kutta Methods
• Title not available (Why is that?)
• Stahle ROW-Type Weak Scheme for Stochastic Differential Equations
• Runge-Kutta methods for numerical solution of stochastic differential equations
• Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
• Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise.
• Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family
• Higher-Order Weak Approximation of Ito Diffusions by Markov Chains

Cited In (15)

• Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies
• Weak second order S-ROCK methods for Stratonovich stochastic differential equations
• The truncated Milstein method for stochastic differential equations with commutative noise
• Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process
• Adaptive time-stepping for the strong numerical solution of stochastic differential equations
• A weak order one stochastic Runge-Kutta method
• New S-ROCK methods for stochastic differential equations with commutative noise
• Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations
• Symplectic conditions and stochastic generating functions of stochastic Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise
• Title not available (Why is that?)
• Stochastic Runge-Kutta Rosenbrock type methods for SDE systems
• Supplement: Efficient weak second order stochastic Runge-Kutta methods for non-commutative Stratonovich stochastic differential equations
• A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
• Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family
• Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations

Uses Software

• RODAS

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