Weak second order S-ROCK methods for Stratonovich stochastic differential equations

DOI10.1016/j.cam.2012.01.033zbMath1238.60063OpenAlexW2076082225MaRDI QIDQ413734

Yoshio Komori, Kevin Burrage

Publication date: 7 May 2012

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.2012.01.033

zbMATH Keywords

explicit methodmean square stabilitystochastic orthogonal Runge-Kutta Chebyshev method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical methods for initial value problems involving ordinary differential equations (65L05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (12)

A class of new Magnus-type methods for semi-linear non-commutative Itô stochastic differential equations ⋮ Split S-ROCK methods for high-dimensional stochastic differential equations ⋮ S-ROCK methods for stochastic delay differential equations with one fixed delay ⋮ Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations ⋮ Asymptotic mean-square stability of explicit Runge-Kutta Maruyama methods for stochastic delay differential equations ⋮ Analytical and numerical investigation of stochastic differential equations with applications using an exponential Euler-Maruyama approach ⋮ A stochastic exponential Euler scheme for simulation of stiff biochemical reaction systems ⋮ Accurate stationary densities with partitioned numerical methods for stochastic partial differential equations ⋮ Efficiency of a Micro-Macro Acceleration Method for Scale-Separated Stochastic Differential Equations ⋮ Numerical integration of ordinary differential equations with rapidly oscillatory factors ⋮ New explicit stabilized stochastic Runge-Kutta methods with weak second order for stiff Itô stochastic differential equations ⋮ Mean square stability of stochastic theta method for stochastic differential equations driven by fractional Brownian motion

Uses Software

• MersenneTwister
• S-ROCK

Cites Work

• Unnamed Item
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• Mersenne twister
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• A new method for determining the roots of polynomials of least deviation on a segment with weight and subject to additional conditions. Part I
• A new method for determining the roots of polynomials of least deviation on a segment with weight and subject to additional conditions. Part II
• Zolotarev polynomials and extremum problems
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• Second order Chebyshev methods based on orthogonal polynomials

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