Diagonally drift-implicit Runge-Kutta methods of strong order one for stiff stochastic differential systems

DOI10.1016/j.cam.2015.02.036zbMath1329.65014OpenAlexW1992178860MaRDI QIDQ747917

Andreas Rößler, Amir Haghighi, Mohammed Hosseini Ali Abadi

Publication date: 19 October 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.02.036

zbMATH Keywords

Runge-Kutta methodsmean-square stabilitydrift-implicit stochastic methodsstiff SDEs

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (7)

Split-step double balanced approximation methods for stiff stochastic differential equations ⋮ Mean-square stability of a constructed Third-order stochastic Runge--Kutta schemes for general stochastic differential equations ⋮ An explicit order 2 scheme for the strong approximation of Stratonovich stochastic differential equations with scalar noise ⋮ Unnamed Item ⋮ Mean-square stability of 1.5 strong convergence orders of diagonally drift Runge-Kutta methods for a class of stochastic differential equations ⋮ Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems ⋮ Study on split-step Rosenbrock type method for stiff stochastic differential systems

Uses Software

• RODAS
• S-ROCK

Cites Work

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• Second Order Runge–Kutta Methods for Itô Stochastic Differential Equations
• S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• B–Series Analysis of Stochastic Runge–Kutta Methods That Use an Iterative Scheme to Compute Their Internal Stage Values
• Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations

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