Two-step Runge-Kutta methods for stochastic differential equations (Q2242796)

scientific article

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English	Two-step Runge-Kutta methods for stochastic differential equations	scientific article

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instance of

scholarly article

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title

Two-step Runge-Kutta methods for stochastic differential equations (English)

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Applied Mathematics and Computation

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publication date

10 November 2021

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zbMATH Keywords

stochastic differential equations

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stochastic two-step Runge-Kutta methods

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mean-square stability analysis

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.amc.2020.125930

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cites work

On the boundedness of asymptotic stability regions for the stochastic theta method

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Structure-preserving Runge-Kutta methods for stochastic Hamiltonian equations with additive noise

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Low rank Runge-Kutta methods, symplecticity and stochastic Hamiltonian problems with additive noise

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A bound on the maximum strong order of stochastic Runge-Kutta methods for stochastic ordinary differential equations

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Multistep methods for SDEs and their application to problems with small noise

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General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems

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High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations

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Order Conditions of Stochastic Runge--Kutta Methods by <i>B</i>-Series

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Numerical Methods for Second‐Order Stochastic Differential Equations

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Accurate Stationary Densities with Partitioned Numerical Methods for Stochastic Differential Equations

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Drift-preserving numerical integrators for stochastic Hamiltonian systems

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Long-term analysis of stochastic \(\theta\)-methods for damped stochastic oscillators

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A-stability preserving perturbation of Runge-Kutta methods for stochastic differential equations

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On the stability of \(\vartheta\)-methods for stochastic Volterra integral equations

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Numerical preservation of long-term dynamics by stochastic two-step methods

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Q3764976

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Handbook of stochastic methods for physics, chemistry and natural sciences.

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An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations

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Mean-Square and Asymptotic Stability of the Stochastic Theta Method

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Q3562881

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Two-Step Runge–Kutta Methods

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Explicit two-step Runge-Kutta methods

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Variable-Stepsize Explicit Two-Step Runge-Kutta Methods

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Higher-order implicit strong numerical schemes for stochastic differential equations

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Generalized two-step Maruyama methods for stochastic differential equations

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Numerical Treatment of Stochastic Differential Equations

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Two-stage stochastic Runge-Kutta methods for stochastic differential equations

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Asymptotic mean-square stability of two-step Maruyama schemes for stochastic differential equations

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Identifiers

DOI

10.1016/j.amc.2020.125930

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2242796