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

DOI10.1007/BF02510351zbMath0890.65146OpenAlexW1970309439MaRDI QIDQ1378460

John A. Belward, Kevin Burrage, Pamela M. Burrage

Publication date: 6 July 1998

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02510351

zbMATH Keywords

convergenceWiener processesStratonovich stochastic differential equationstochastic Runge-Kutta methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Probabilistic methods, stochastic differential equations (65C99)

Related Items

Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family ⋮ New S-ROCK methods for stochastic differential equations with commutative noise ⋮ Nonlinear stability issues for stochastic Runge-Kutta methods ⋮ Low-storage Runge-Kutta methods for stochastic differential equations ⋮ Two-step Runge-Kutta methods for stochastic differential equations ⋮ Three-stage stochastic Runge-Kutta methods for stochastic differential equations ⋮ The composite Euler method for stiff stochastic differential equations ⋮ Implicit Taylor methods for stiff stochastic differential equations ⋮ Remarks on Taylor Series Expansions and Conditional Expectations for Stratonovich SDEs with Complete V‐Commutativity ⋮ General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems ⋮ Numerical solution of stochastic differential problems in the biosciences ⋮ Issues in the Software Implementation of Stochastic Numerical Runge–Kutta

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems
• On the performance of parallel waveform relaxations for differential systems
• Numerical Treatment of Stochastic Differential Equations
• Relations between multiple ito and stratonovich integrals
• Balanced Implicit Methods for Stiff Stochastic Systems