Weak Second Order Conditions for Stochastic Runge--Kutta Methods
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Stochastic approximation (62L20) 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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Cited in
(46)- Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
- Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems
- Families of efficient second order Runge-Kutta methods for the weak approximation of Itô stochastic differential equations
- Runge-Kutta methods for Itô stochastic differential equations with scalar noise
- Weak stochastic Runge-Kutta Munthe-Kaas methods for finite spin ensembles
- Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies
- New Itô--Taylor expansions
- Weak second order S-ROCK methods for Stratonovich stochastic differential equations
- A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems
- A family of three-stage stochastic Runge-Kutta methods with order two and their stability
- Existence and uniqueness of the solutions and convergence of semi-implicit Euler methods for stochastic pantograph equations
- Weak order stochastic Runge-Kutta methods for commutative stochastic differential equations
- Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process
- Integration of the stochastic underdamped harmonic oscillator by the \(\theta \)-method
- Second order Runge-Kutta methods for Stratonovich stochastic differential equations
- Classification of stochastic Runge-Kutta methods for the weak approximation of stochastic differential equations
- Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations
- Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations
- Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations
- Weak second-order conditions of Runge-Kutta method for stochastic optimal control problems
- Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis
- Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations
- Tamed Runge-Kutta methods for SDEs with super-linearly growing drift and diffusion coefficients
- Improved Euler-Maruyama method for numerical solution of the Itô stochastic differential systems by composite previous-current-step idea
- Automated translation and accelerated solving of differential equations on multiple GPU platforms
- A variable step-size control algorithm for the weak approximation of stochastic differential equations
- A weak order one stochastic Runge-Kutta method
- Economical Runge-Kutta methods for numerical solution of stochastic differential equations
- Stochastic multi-symplectic Runge-Kutta methods for stochastic Hamiltonian PDEs
- Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise
- Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise.
- Continuous weak approximation for stochastic differential equations
- On Runge-Kutta-type methods for two-dimensional stochastic differential equations
- Economical Runge-Kutta methods with weak second order for stochastic differential equations
- Stochastic Runge-Kutta schemes for discretization of hysteretic models
- Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations
- Weak second-order splitting schemes for Lagrangian Monte Carlo particle methods for the composition PDF/FDF transport equations
- Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems
- Stochastic Runge-Kutta Rosenbrock type methods for SDE systems
- Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family
- A step size control algorithm for the weak approximation of stochastic differential equations
- Second order weak Runge-Kutta type methods for Itô equations
- Weak forms of the locally transversal linearization (LTL) technique for stochastically driven nonlinear oscillators
- A stochastic perturbation theory for non-autonomous systems
- Mean-square stability of a constructed Third-order stochastic Runge--Kutta schemes for general stochastic differential equations
- A weak trapezoidal method for a class of stochastic differential equations
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