Stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential algebraic equations

DOI10.1016/J.RINAM.2021.100187zbMath1480.65020OpenAlexW3199738836WikidataQ115341397 ScholiaQ115341397MaRDI QIDQ2063287

Priya Nair, A. Rathinasamy

Publication date: 11 January 2022

Published in: Results in Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.rinam.2021.100187

zbMATH Keywords

weak convergencemean-square stabilitystochastic Runge-Kutta methodsstiffly accurateT-stabilitystochastic differential algebraic equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) 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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Cites Work

• A Runge-Kutta method for index 1 stochastic differential-algebraic equations with scalar noise
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• Second Order Runge–Kutta Methods for Itô Stochastic Differential Equations
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