Second order weak Runge-Kutta type methods for Itô equations

DOI10.1016/S0378-4754(00)00284-6zbMath0990.65006OpenAlexW1996841553MaRDI QIDQ5944018

Vigirdas Mackevičius, Jurgis Navikas

Publication date: 25 March 2002

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4754(00)00284-6

zbMATH Keywords

Itô stochastic differential equationRunge-Kutta type methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (7)

Weak second-order splitting schemes for Lagrangian Monte Carlo particle methods for the composition PDF/FDF transport equations ⋮ Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise ⋮ Stochastic Runge-Kutta Rosenbrock type methods for SDE systems ⋮ On Runge-Kutta-type methods for two-dimensional stochastic differential equations ⋮ Classification of stochastic Runge-Kutta methods for the weak approximation of stochastic differential equations ⋮ Families of efficient second order Runge-Kutta methods for the weak approximation of Itô stochastic differential equations ⋮ Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations

Cites Work

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• Second-order weak approximations for Stratonovich stochastic differential equations
• Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution

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