Runge-Kutta methods for numerical solution of stochastic differential equations
From MaRDI portal
explicit schemesnumerical examplesRunge-Kutta methodsstochastic differential equationsweak approximationweak numerical schemes
Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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)
Recommendations
- Stochastic Runge-Kutta method with weak and strong convergency
- Economical Runge-Kutta methods for numerical solution of stochastic differential equations
- Numerical solution of stochastic differential equations with additive noise by Runge-Kutta methods
- On a class of stochastic Runge Kutta methods
- Runge-Kutta methods for Itô stochastic differential equations with scalar noise
Cites work
- \(A\)-stability of Runge-Kutta methods for systems with additive noise
- A Method of Second-Order Accuracy Integration of Stochastic Differential Equations
- Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise
- Higher-order implicit strong numerical schemes for stochastic differential equations
- scientific article; zbMATH DE number 3863080 (Why is no real title available?)
- scientific article; zbMATH DE number 3457949 (Why is no real title available?)
- scientific article; zbMATH DE number 3438157 (Why is no real title available?)
- scientific article; zbMATH DE number 3999169 (Why is no real title available?)
- Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
- Numerical Solution of Stochastic Differential Equations with Constant Diffusion Coefficients
- Numerical Treatment of Stochastic Differential Equations
- Runge-Kutta methods for numerical solution of stochastic differential equations
- Stability Analysis of Numerical Schemes for Stochastic Differential Equations
- Step size control in the numerical solution of stochastic differential equations
- Weak Approximation of Solutions of Systems of Stochastic Differential Equations
Cited in
(82)- Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise
- Numerical solutions of linear stochastic differential equations
- New Itô--Taylor expansions
- Numerical approximation of random periodic solutions of stochastic differential equations
- Numerical methods for simulation of stochastic differential equations
- Numerical solution based on hybrid of block-pulse and parabolic functions for solving a system of nonlinear stochastic Itô-Volterra integral equations of fractional order
- Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations
- Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise
- Application of hat basis functions for solving two-dimensional stochastic fractional integral equations
- Runge-Kutta Lawson schemes for stochastic differential equations
- Ergodic numerical approximation to periodic measures of stochastic differential equations
- A mesoscale agent based modeling framework for flow-mediated infection transmission in indoor occupied spaces
- An iterative shifted Chebyshev method for nonlinear stochastic Itô-Volterra integral equations
- Quintic B-spline collocation method to solve n-dimensional stochastic Itô-Volterra integral equations
- Two-step Runge-Kutta methods for stochastic differential equations
- Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems
- Numerical solution of stochastic fractional integro-differential equation by the spectral collocation method
- Multilayer perceptrons and radial basis function neural network methods for the solution of differential equations: a survey
- Runge-Kutta schemes for backward stochastic differential equations
- On Runge-Kutta-type methods for two-dimensional stochastic differential equations
- Continuous weak approximation for stochastic differential equations
- Runge-Kutta methods for Itô stochastic differential equations with scalar noise
- Explorations of a family of stochastic Newmark methods in engineering dynamics
- Heat fluctuations in the logarithm-harmonic potential
- Runge-Kutta methods for monotone differential and stochastic equations
- Coefficients of Runge-Kutta Schemes for Itô Stochastic Differential Equations
- Numerical solution of stochastic differential equations with additive noise by Runge-Kutta methods
- Stochastic Runge-Kutta methods for Itô sodes with small noise
- Stochastic diffusion problems: comparison between Euler-Maruyama and Runge-Kutta schemes
- Embedded stochastic Runge-Kutta methods
- Economical Runge-Kutta methods with weak second order for stochastic differential equations
- Numerical solution of stochastic differential equation corresponding to continuous distributions
- Numerical solution of stochastic differential equations in finance
- On a class of stochastic Runge Kutta methods
- Stochastic modelling of a noise-driven global instability in a turbulent swirling jet
- Stochastic Runge-Kutta method with weak and strong convergency
- Runge Kutta families for additive noise stochastic differential equations
- Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations
- Numerical Solution of Stochastic Differential Equations with Constant Diffusion Coefficients
- Two-stage stochastic Runge-Kutta methods for stochastic differential equations with jump diffusion
- A class of second-order Runge-Kutta methods for numerical solution of stochastic differential equations
- A quasi-randomized Runge-Kutta method
- A Runge-Kutta method for index 1 stochastic differential-algebraic equations with scalar noise
- Efficient Galerkin solution of stochastic fractional differential equations using second kind Chebyshev wavelets
- Stochastic Runge-Kutta schemes for discretization of hysteretic models
- Numerical integration of stochastic differential equations with variable diffusivity
- scientific article; zbMATH DE number 1909481 (Why is no real title available?)
- scientific article; zbMATH DE number 775661 (Why is no real title available?)
- Runge-Kutta Algorithm for the Numerical Integration of Stochastic Differential Equations
- Issues in the Software Implementation of Stochastic Numerical Runge–Kutta
- Stochastic Runge-Kutta-Munthe-Kaas methods in the modelling of perturbed rigid bodies
- Modifying the split-step -method with harmonic-mean term for stochastic differential equations
- Nonintrusive polynomial chaos expansions for sensitivity analysis in stochastic differential equations
- B–Series Analysis of Stochastic Runge–Kutta Methods That Use an Iterative Scheme to Compute Their Internal Stage Values
- Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
- Numerical Methods for Second‐Order Stochastic Differential Equations
- Mean-square stability of a constructed Third-order stochastic Runge--Kutta schemes for general stochastic differential equations
- On a deterministic approach to the numerical solution of the SDE
- Second order weak Runge-Kutta type methods for Itô equations
- Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations
- Runge-Kutta methods for numerical solution of stochastic differential equations
- High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
- Euler scheme for solving a class of stochastic differential variational inequalities with some applications
- Strong stochastic Runge-Kutta-Munthe-Kaas methods for nonlinear Itô SDEs on manifolds
- A convergent wavelet-based method for solving linear stochastic differential equations included 1D and 2D noise
- PI-VEGAN: Physics Informed Variational Embedding Generative Adversarial Networks for Stochastic Differential Equations
- Automated translation and accelerated solving of differential equations on multiple GPU platforms
- Numerical solution of stochastic differential equations by second order Runge-Kutta methods
- Runge-Kutta methods for jump-diffusion differential equations
- Weak second-order conditions of Runge-Kutta method for stochastic optimal control problems
- Computational solution of stochastic differential equations
- Ergodic semi-implicit approximations to periodic measures of stochastic differential equations with locally Lipschitz drifts -- error analysis in Wasserstein distance
- Stochastic Gompertzian model for parathyroid tumor growth
- Modeling and analysis of uncertain Bass diffusion model driven by uncertain Liu process
- Spectral collocation method for multidimensional stochastic integral equation involving fractional Brownian motion
- Mean square numerical solution of stochastic differential equations by fourth order Runge-Kutta method and its application in the electric circuits with noise
- Weak order stochastic Runge-Kutta methods for commutative stochastic differential equations
- Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems
- Robust stability of uncertain neutral linear stochastic differential delay system
- Low-storage Runge-Kutta methods for stochastic differential equations
- Three-stage stochastic Runge-Kutta methods for stochastic differential equations
- Economical Runge-Kutta methods for numerical solution of stochastic differential equations
This page was built for publication: Runge-Kutta methods for numerical solution of stochastic differential equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5957938)
