A Runge-Kutta method for index 1 stochastic differential-algebraic equations with scalar noise

DOI10.1007/S10543-011-0354-0zbMath1247.65006OpenAlexW2132453459MaRDI QIDQ438712

Dominique Küpper, Andreas Rößler, Anne Kværnø

Publication date: 31 July 2012

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10543-011-0354-0

zbMATH Keywords

Wiener processnumerical examplesmean-square convergencemean-square stabilitystiffly accuratestochastic differential-algebraic equationstochastic Runge-Kutta method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Implicit ordinary differential equations, differential-algebraic equations (34A09) 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) Numerical methods for differential-algebraic equations (65L80)

Related Items (6)

Order conditions for sampling the invariant measure of ergodic stochastic differential equations on manifolds ⋮ Stability analysis and classification of Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise ⋮ Stability analysis of high order Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise ⋮ Some derivative-free solvers for numerical solution of SODEs ⋮ A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise ⋮ Stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential algebraic equations

Uses Software

• RODAS

Cites Work

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