Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations

Computer Physics Communications

Volumn 142, Issue 1-3, 2001, Pages 186-190

  Burrage, Kevin ^a   Tian, Tianhai ^a  

^a UNIVERSITY OF QUEENSLAND   (Australia)

Author keywords

Runge Kutta methods; Stability; Stiff accuracy; Stochastic differential equations

Indexed keywords

CONVERGENCE OF NUMERICAL METHODS; RANDOM PROCESSES; RUNGE KUTTA METHODS;

STOCHASTIC DIFFERENTIAL EQUATIONS (SDE);

DIFFERENTIAL EQUATIONS;

EID: 0035892821     PISSN: 00104655     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0010-4655(01)00324-1     Document Type: Conference Paper

References (15)

1. Order conditions of stochastic Runge-Kutta methods by B-series
2. The composite Euler method for stiff stochastic differential equations
3. Predictor-corrector methods of Runge-Kutta type for stochastic differential equations
4. Two-stage stochastic Runge-Kutta methods for stochastic differential equations