Asymptotically Efficient Runge-Kutta Methods for a Class of Itô and Stratonovich Equations

DOI10.1137/0151028zbMath0724.65135OpenAlexW2034555762MaRDI QIDQ3212254

Nigel J. Newton

Publication date: 1991

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0151028

zbMATH Keywords

Brownian motionstochastic differential equationsnonlinear filteringcentral limit theoremRunge-Kutta methodsEuler schemeefficient estimatorsItô differential equationStratonovich differential equationmaximum order of convergence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Probabilistic methods, stochastic differential equations (65C99)

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