Implicit stochastic Runge-Kutta methods for stochastic differential equations

DOI10.1023/B:BITN.0000025089.50729.0fzbMath1048.65005OpenAlexW1982928239MaRDI QIDQ1826448

Tianhai Tian, Kevin Burrage

Publication date: 6 August 2004

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:bitn.0000025089.50729.0f

zbMATH Keywords

convergencecomparison of methodsnumerical resultsasymptotic stabilitystochastic differential equationsnumerical stabilityRunge-Kutta methodsstiffly accuratetrapezoidal methodStratonovich type

Mathematics Subject Classification ID

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) Numerical methods for initial value problems involving ordinary differential equations (65L05) 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)

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