Runge-Kutta methods for numerical solution of stochastic differential equations

Journal of Computational and Applied Mathematics

Volumn 138, Issue 2, 2002, Pages 219-241

  Tocino, A ^a   Ardanuy, R ^a  

^a UNIVERSITY OF SALAMANCA   (Spain)

Author keywords

Explicit schemes; Runge Kutta methods; Stochastic differential equations; Weak approximation; Weak numerical schemes

Indexed keywords

APPROXIMATION THEORY; DIFFERENTIAL EQUATIONS; DIFFUSION; RANDOM PROCESSES;

TAYLOR APPROXIMATIONS;

RUNGE KUTTA METHODS;

DIFFERENTIAL EQUATION;

EID: 0037081098     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-0427(01)00380-6     Document Type: Article

References (17)

1. Numerical solution of stochastic differential equations with constant diffusion coefficients
2. A-stability of Runge-Kutta methods for systems with additive noise
3. Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise
4. Numerical integration of multiplicative-noise stochastic differential equations
5. Step size control in the numerical solution of stochastic differential equations
6. A method of second order accuracy integration of stochastic differential equations
7. Weak approximation of solutions of systems of stochastic differential equations
8. Numerical treatment of stochastic differential equations
9. Stability analysis of numerical schemes for stochastic differential equations
10. Efficient numerical schemes for the approximation of expectations of functionals of the solution of a SDE and applications
11. Truncated Itô-Taylor expansions