Economical Runge-Kutta methods for numerical solution of stochastic differential equations

DOI10.1007/s10543-008-0190-zzbMath1155.65007OpenAlexW1967251812MaRDI QIDQ960026

Francesco Aldo Costabile, Anna Napoli

Publication date: 16 December 2008

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10543-008-0190-z

zbMATH Keywords

numerical examplesstochastic differential equationsnumerical stabilityRunge-Kutta scheme

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)

A-stability preserving perturbation of Runge-Kutta methods for stochastic differential equations ⋮ Economical Runge-Kutta methods with strong global order one for stochastic differential equations ⋮ Nonlinear stability issues for stochastic Runge-Kutta methods ⋮ Improved Euler-Maruyama method for numerical solution of the Itô stochastic differential systems by composite previous-current-step idea

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• Weak Second Order Conditions for Stochastic Runge--Kutta Methods
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Runge-Kutta methods for numerical solution of stochastic differential equations

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