Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations
type: Item
instance of: scholarly article
title: Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations
zbMATH Open document ID: 1276.65003
author: Yoshio Komori
author: Evelyn Buckwar
published in: BIT
publication date: 2013-09-24T00:00:00Z
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 65L06
Mathematics Subject Classification ID: 34F05
Mathematics Subject Classification ID: 65L20
zbMATH DE Number: 6210968
zbMATH Keywords: explicit method
zbMATH Keywords: Itô stochastic differential equation
zbMATH Keywords: mean square stability
zbMATH Keywords: numerical examples
zbMATH Keywords: stochastic Runge-Kutta methods
zbMATH Keywords: weak second-order methods
describes a project that uses: RODAS
describes a project that uses: MersenneTwister
MaRDI profile type: Publication
full work available at URL: s10543-013-0419-3
OpenAlex ID: W2084095385
cites work: Q4404205
cites work: Towards a Systematic Linear Stability Analysis of Numerical Methods for Systems of Stochastic Differential Equations
cites work: A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
cites work: A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems
cites work: Families of efficient second order Runge-Kutta methods for the weak approximation of Itô stochastic differential equations
cites work: Q3550030
cites work: Solving Ordinary Differential Equations II
cites work: \(A\)-stability and stochastic mean-square stability
cites work: Mean-Square and Asymptotic Stability of the Stochastic Theta Method
cites work: Stochastic stability of differential equations. With contributions by G. N. Milstein and M. B. Nevelson
cites work: Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations
cites work: Supplement: Efficient weak second order stochastic Runge-Kutta methods for non-commutative Stratonovich stochastic differential equations
cites work: Stahle ROW-Type Weak Scheme for Stochastic Differential Equations
cites work: Mersenne twister
cites work: Second order Runge-Kutta methods for Stratonovich stochastic differential equations
cites work: Second Order Runge–Kutta Methods for Itô Stochastic Differential Equations
cites work: Stability Analysis of Numerical Schemes for Stochastic Differential Equations
cites work: Mean-square stability of numerical schemes for stochastic differential systems
cites work: Mean-square stability analysis of numerical schemes for stochastic differential systems
cites work: Weak Second Order Conditions for Stochastic Runge--Kutta Methods
DOI: 10.1007/S10543-013-0419-3
Recommended article: High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
Recommended article: Q4824663
Recommended article: High strong order stochastic Runge-Kutta methods for Stratonovich stochastic differential equations with scalar noise
Recommended article: Runge-Kutta methods for numerical solution of stochastic differential equations
Recommended article: Q3145648
Recommended article: Q4839865
Recommended article: A bound on the maximum strong order of stochastic Runge-Kutta methods for stochastic ordinary differential equations
Recommended article: Q4805354
Recommended article: Efficient Stochastic Runge-Kutta Methods for Stochastic Differential Equations with Small Noises
Recommended article: Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
description: scientific article; zbMATH DE number 6210968