Low-storage Runge-Kutta methods for stochastic differential equations

DOI10.1016/j.apnum.2007.08.006zbMath1157.65007OpenAlexW2145237307MaRDI QIDQ947741

Dan Stanescu, Dong-Jin Kim

Publication date: 7 October 2008

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

Full work available at URL: https://doi.org/10.1016/j.apnum.2007.08.006

zbMATH Keywords

numerical resultsRunge-Kutta methodslow-storagenoncommutative systems of stochastic differential equations

Mathematics Subject Classification ID

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

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Symplectic conditions and stochastic generating functions of stochastic Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise

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