Two-stage stochastic Runge-Kutta methods for stochastic differential equations with jump diffusion

DOI10.4310/CMS.2012.V10.N4.A15zbMath1281.65012OpenAlexW2321405789MaRDI QIDQ390020

Can Huang, Zhimin Zhang, Jing Shi

Publication date: 22 January 2014

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: http://intlpress.com/site/pub/pages/journals/items/cms/content/vols/0010/0004/a015/index.html

zbMATH Keywords

stochastic differential equationconvergencenumerical testjump-diffusion processstochastic 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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