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

DOI10.1023/A:1021963316988zbMath1016.65002OpenAlexW1885303678MaRDI QIDQ1864781

Tianhai Tian, Kevin Burrage

Publication date: 19 March 2003

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1021963316988

zbMATH Keywords

stabilityconvergencenumerical resultsStratonovich stochastic differential equationssemi-implicit methodcomposite methodsdiagonally implicit stochastic Runge-Kutta methodslarge MS-stability region

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) 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)

Related Items (18)

Weak second-order splitting schemes for Lagrangian Monte Carlo particle methods for the composition PDF/FDF transport equations ⋮ Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation ⋮ Mean-square stability of a constructed Third-order stochastic Runge--Kutta schemes for general stochastic differential equations ⋮ Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies ⋮ Symplectic conditions and stochastic generating functions of stochastic Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise ⋮ Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process ⋮ Unnamed Item ⋮ An iterative technique for the numerical solution of nonlinear stochastic Itô-Volterra integral equations ⋮ Two-step Runge-Kutta methods for stochastic differential equations ⋮ Response Analysis of van der Pol Vibro-Impact System with Coulomb Friction Under Gaussian White Noise ⋮ Three-stage stochastic Runge-Kutta methods for stochastic differential equations ⋮ A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise ⋮ MS-stability of the Euler--Maruyama method for stochastic differential delay equations ⋮ The sorting direct method for stochastic simulation of biochemical systems with varying reaction execution behavior ⋮ Implicit Taylor methods for stiff stochastic differential equations ⋮ Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations ⋮ Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems ⋮ Dynamic statistical responses of gear drive based on improved stochastic iteration method

This page was built for publication: Two-stage stochastic Runge-Kutta methods for stochastic differential equations