Strong stochastic Runge-Kutta-Munthe-Kaas methods for nonlinear Itô SDEs on manifolds

DOI10.1016/j.apnum.2023.07.024zbMath1526.65001MaRDI QIDQ6064947

Matthias Ehrhardt, Michelle Muniz, Renate Winkler, Michael Günther

Publication date: 10 November 2023

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

zbMATH Keywords

Casimir functionsstochastic Runge-Kutta methodRunge-Kutta-Munthe-Kaas scheme

Mathematics Subject Classification ID

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

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