Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies

DOI10.1016/j.cam.2020.112890zbMath1503.65021OpenAlexW3015164937MaRDI QIDQ2175837

Priya Nair, Davood Ahmadian, A. Rathinasamy

Publication date: 30 April 2020

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2020.112890

zbMATH Keywords

strong convergencestochastic differential equationsnumerical solutionsmean-square stabilitybalanced stochastic Runge-Kutta methods

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)

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