Stability analysis and classification of Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise

DOI10.1016/J.APNUM.2015.04.003zbMath1321.65013arXiv1311.0809OpenAlexW2029622671MaRDI QIDQ492922

Andreas Rößler, Anne Kværnø, Dominique Küpper

Publication date: 21 August 2015

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.0809

zbMATH Keywords

classification\(A\)-stabilitymean-square stabilitystochastic 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 (3)

Stability analysis of high order Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise ⋮ 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

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