Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process
type: Item
instance of: scholarly article
title: Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process
zbMATH Open document ID: 1147.65004
author: Yoshio Komori
published in: Journal of Computational and Applied Mathematics
publication date: 2008-06-19T00:00:00Z
review text: Two implicit stochastic Runge-Kutta schemes, one of weak order 1 and the other of weak order 2, are developed for approximating the solution of a Stratonovich stochastic differential equation. Conditions are specified under which the schemes are mean square \(A\)-stable. Favorable numerical results for two examples are summarized.
reviewed by: Melvin D. Lax
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 65L06
Mathematics Subject Classification ID: 65L20
Mathematics Subject Classification ID: 35F05
zbMATH DE Number: 5290882
zbMATH Keywords: MS-stability
zbMATH Keywords: A-stability
zbMATH Keywords: derivative-free
zbMATH Keywords: multiplicative noise
zbMATH Keywords: bi-colored rooted tree
zbMATH Keywords: Stratonovich stochastic differential equation
zbMATH Keywords: polynomially bounded differential functions
zbMATH Keywords: implicit stochastic Runge-Kutta schemes
MaRDI profile type: Publication
full work available at URL: j.cam.2007.06.024
OpenAlex ID: W2156405327
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DOI: 10.1016/J.CAM.2007.06.024
description: scientific article; zbMATH DE number 5290882