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

DOI10.1016/j.cam.2006.03.010zbMath1112.65005OpenAlexW2090474156WikidataQ29307232 ScholiaQ29307232MaRDI QIDQ875154

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

comparison of methodsnumerical experimentsmultiplicative noisederivative-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) 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)

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Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations ⋮ Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family ⋮ Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies ⋮ Unnamed Item ⋮ Weak second order S-ROCK methods for Stratonovich stochastic differential equations ⋮ Symplectic conditions and stochastic generating functions of stochastic Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise ⋮ Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process ⋮ The truncated Milstein method for stochastic differential equations with commutative noise ⋮ Stochastic Runge-Kutta Rosenbrock type methods for SDE systems ⋮ Adaptive time-stepping for the strong numerical solution of stochastic differential equations

Uses Software

• RODAS

Cites Work

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