Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations

DOI10.1016/j.cam.2006.06.006zbMath1117.65010OpenAlexW2141264944WikidataQ30050189 ScholiaQ30050189MaRDI QIDQ2370574

Yoshio Komori

Publication date: 29 June 2007

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.2006.06.006

zbMATH Keywords

numerical experimentsmultiplicative noisederivative-freeStratonovich SDEsmulti-dimensional Wiener processexplicit stochastic Runge-Kutta scheme(SDEs)multi-colored rooted tree

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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 (20)

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Uses Software

• RODAS

Cites Work

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• Some issues in discrete approximate solution for stochastic differential equations
• Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise.
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• Numerical methods for strong solutions of stochastic differential equations: an overview
• Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
• Higher-Order Weak Approximation of Ito Diffusions by Markov Chains
• Inversive Congruential Pseudorandom Numbers: A Tutorial
• Weak Second Order Conditions for Stochastic Runge--Kutta Methods
• Stahle ROW-Type Weak Scheme for Stochastic Differential Equations
• Expansion of the global error for numerical schemes solving stochastic differential equations

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