Economical Runge-Kutta methods with strong global order one for stochastic differential equations

DOI10.1016/j.apnum.2010.09.001zbMath1206.65020OpenAlexW1983461213MaRDI QIDQ617630

Anna Napoli, Francesco Aldo Costabile

Publication date: 21 January 2011

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

Full work available at URL: https://doi.org/10.1016/j.apnum.2010.09.001

zbMATH Keywords

stochastic Taylor expansionnumerical examplesnumerical stabilitymean-square stabilityStratonovich stochastic differential equationseconomical Runge-Kutta schemes

Mathematics Subject Classification ID

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

Related Items (4)

High strong order stochastic Runge-Kutta methods for Stratonovich stochastic differential equations with scalar noise ⋮ A spectral method for stochastic fractional differential equations ⋮ An explicit order 2 scheme for the strong approximation of Stratonovich stochastic differential equations with scalar noise ⋮ Improved Euler-Maruyama method for numerical solution of the Itô stochastic differential systems by composite previous-current-step idea

Cites Work

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• Economical Runge-Kutta methods for numerical solution of stochastic differential equations
• High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Order Conditions of Stochastic Runge--Kutta Methods by B-Series
• Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations

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