Three-stage stochastic Runge-Kutta methods for stochastic differential equations
DOI10.1016/J.CAM.2007.11.001zbMath1181.65016OpenAlexW2057638127MaRDI QIDQ955051
Publication date: 18 November 2008
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.2007.11.001
numerical resultsWiener processnumerical stabilityStratonovich stochastic differential equationstochastic Runge-Kutta methodsorder conditionprincipal error coefficient
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) 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)
Related Items (10)
Cites Work
- Higher-order implicit strong numerical schemes for stochastic differential equations
- A bound on the maximum strong order of stochastic Runge-Kutta methods for stochastic ordinary differential equations
- Two-stage stochastic Runge-Kutta methods for stochastic differential equations
- Order Conditions of Stochastic Runge--Kutta Methods by B-Series
- An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
- Numerical Treatment of Stochastic Differential Equations
- Diagonally Implicit Runge–Kutta Methods for Stiff O.D.E.’s
- Stability Analysis of Numerical Schemes for Stochastic Differential Equations
- High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Three-stage stochastic Runge-Kutta methods for stochastic differential equations