Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process

DOI10.1016/j.cam.2007.06.024zbMath1147.65004OpenAlexW2156405327MaRDI QIDQ929918

Yoshio Komori

Publication date: 19 June 2008

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.2007.06.024

zbMATH Keywords

A-stabilityStratonovich stochastic differential equationmultiplicative noiseMS-stabilityderivative-freebi-colored rooted treeimplicit stochastic Runge-Kutta schemespolynomially bounded differential functions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Linear first-order PDEs (35F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

A Micro-Macro Acceleration Method for the Monte Carlo Simulation of Stochastic Differential Equations ⋮ Weak second order S-ROCK methods for Stratonovich stochastic differential equations ⋮ Asymptotic moment boundedness of the numerical solutions of stochastic differential equations ⋮ Stochastic Runge-Kutta Rosenbrock type methods for SDE systems ⋮ Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis

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