Some drift exponentially fitted stochastic Runge-Kutta methods for solving Itô SDE systems

DOI10.36045/BBMS/1568685657zbMath1431.65105OpenAlexW2974714287MaRDI QIDQ2330479

Sadegh Amiri

Publication date: 22 October 2019

Published in: Bulletin of the Belgian Mathematical Society - Simon Stevin (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bbms/1568685657

zbMATH Keywords

stochastic differential equationsmean-square stabilitystochastic B-seriesdrift exponentially fitted stochastic Runge-Kutta method

Mathematics Subject Classification ID

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) Numerical solutions to stochastic differential and integral equations (65C30) Numerical investigation of stability of solutions to ordinary differential equations (65L07)

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