Stochastic Runge-Kutta Rosenbrock type methods for SDE systems

DOI10.1016/j.apnum.2016.11.010zbMath1358.65006OpenAlexW2560259590MaRDI QIDQ512288

Sadegh Amiri, Mohammed Hosseini Ali Abadi

Publication date: 24 February 2017

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

Full work available at URL: https://doi.org/10.1016/j.apnum.2016.11.010

zbMATH Keywords

numerical examplesstochastic differential equationsorder conditionssemi-implicit methodscomputational effortstochastic B-seriesstochastic Runge-Kutta Rosenbrock-type methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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)

Related Items (3)

Truncated Milstein method for non-autonomous stochastic differential equations and its modification ⋮ Issues in the Software Implementation of Stochastic Numerical Runge–Kutta ⋮ Study on split-step Rosenbrock type method for stiff stochastic differential systems

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