A class of second-order Runge-Kutta methods for numerical solution of stochastic differential equations

DOI10.1080/07362999808809575zbMath0920.60042OpenAlexW2080720377MaRDI QIDQ4223639

Marwan I. Abukhaled, Edward J. Allen

Publication date: 30 August 1999

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999808809575

zbMATH Keywords

variance reductionexplicit Runge-Kutta methods(ordinary) stochastic differential equationssecond-order accuracy

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Probabilistic methods, stochastic differential equations (65C99)

Related Items (9)

On Stability of Weak Schemes for Stochastic Differential Systems With One Multiplicative Noise ⋮ EXPECTATION STABILITY OF SECOND-ORDER WEAK NUMERICAL METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS ⋮ Rounding Error in Numerical Solution of Stochastic Differential Equations ⋮ Weak second-order splitting schemes for Lagrangian Monte Carlo particle methods for the composition PDF/FDF transport equations ⋮ Mean square stability of second-order weak numerical methods for stochastic differential equations. ⋮ Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems ⋮ Economical Runge-Kutta methods for numerical solution of stochastic differential equations ⋮ Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations ⋮ Runge-Kutta methods for Itô stochastic differential equations with scalar noise

Cites Work

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• Some experiments on numerical simulations of stochastic differential equations and a new algorithm
• Asymptotically Efficient Runge-Kutta Methods for a Class of Itô and Stratonovich Equations
• Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
• Weak Approximation of Solutions of Systems of Stochastic Differential Equations
• A Method of Second-Order Accuracy Integration of Stochastic Differential Equations
• Weak Convergence of Approximations of I tǒ Integral Equations
• Numerical Treatment of Stochastic Differential Equations
• Expansion of the global error for numerical schemes solving stochastic differential equations

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