Low-storage Runge-Kutta methods for stochastic differential equations

DOI10.1016/J.APNUM.2007.08.006MaRDI QIDQ947741zbMATH OpenOpenAlexFDO

Authors Dan Stanescu, Dong-Jin Kim

Publication date 7 October 2008

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

Full work available at URL https://doi.org/10.1016/j.apnum.2007.08.006

zbMATH Keywords

numerical resultsRunge-Kutta methodslow-storagenoncommutative systems of stochastic differential equations

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 3999169 (Why is no real title available?)
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• A spatial stochastic neuronal model with Ornstein-Uhlenbeck input current
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• Approximate Integration of Stochastic Differential Equations
• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
• Interacting particle approximation for nonlocal quadratic evolution problems
• Low-storage Runge-Kutta schemes
• Minimum storage Runge-Kutta schemes for computational acoustics.
• Numerical Solution of Stochastic Differential Equations with Constant Diffusion Coefficients
• Numerical Treatment of Stochastic Differential Equations
• Numerical solution of SDE through computer experiments. Including floppy disk
• Numerical study of interacting particles approximation for integro-differential equations
• Order conditions of stochastic Runge--Kutta methods by B-series
• Rooted tree analysis of the order conditions of row-type scheme for stochastic differential equations
• Stochastic differential equations. An introduction with applications.
• \(2N\)-storage low dissipation and dispersion Runge-Kutta schemes for computational acoustics

Cited in

(5)

• Low-storage implicit/explicit Runge-Kutta schemes for the simulation of stiff high-dimensional ODE systems
• Runge-Kutta methods with minimum storage implementations
• Runge-Kutta Lawson schemes for stochastic differential equations
• On the performance of low storage additive Runge-Kutta methods
• Symplectic conditions and stochastic generating functions of stochastic Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise

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