Low-storage Runge-Kutta methods for stochastic differential equations
DOI10.1016/J.APNUM.2007.08.006zbMATH Open1157.65007OpenAlexW2145237307MaRDI QIDQ947741FDOQ947741
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
numerical resultsRunge-Kutta methodslow-storagenoncommutative systems of stochastic differential equations
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
- Stochastic differential equations. An introduction with applications.
- Numerical solution of SDE through computer experiments. Including floppy disk
- A spatial stochastic neuronal model with Ornstein-Uhlenbeck input current
- A survey of numerical methods for stochastic differential equations
- Numerical Treatment of Stochastic Differential Equations
- Title not available (Why is that?)
- Order conditions of stochastic Runge--Kutta methods by B-series
- High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
- \(2N\)-storage low dissipation and dispersion Runge-Kutta schemes for computational acoustics
- Approximate Integration of Stochastic Differential Equations
- Low-storage Runge-Kutta schemes
- A bound on the maximum strong order of stochastic Runge-Kutta methods for stochastic ordinary differential equations
- Minimum storage Runge-Kutta schemes for computational acoustics.
- Interacting particle approximation for nonlocal quadratic evolution problems
- Numerical Solution of Stochastic Differential Equations with Constant Diffusion Coefficients
- Rooted tree analysis of the order conditions of row-type scheme for stochastic differential equations
- Numerical study of interacting particles approximation for integro-differential equations
Cited In (3)
- Low-storage implicit/explicit Runge-Kutta schemes for the simulation of stiff high-dimensional ODE systems
- 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
Recommendations
- Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise. 👍 👎
- Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations 👍 👎
- Runge-Kutta methods for numerical solution of stochastic differential equations 👍 👎
- General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems 👍 👎
- Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations 👍 👎
This page was built for publication: Low-storage Runge-Kutta methods for stochastic differential equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q947741)
