Stochastic Runge–Kutta Methods for Itô SODEs with Small Noise

DOI10.1137/090763275zbMath1215.65013OpenAlexW2032748090MaRDI QIDQ2998009

Renate Winkler, Evelyn Buckwar, Andreas Rößler

Publication date: 17 May 2011

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/090763275

zbMATH Keywords

numerical examplesmean-square convergencestochastic Runge-Kutta methodssmall noiseItô stochastic differential equationsMaruyama method

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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