B-series analysis of stochastic Runge-Kutta methods that use an iterative scheme to compute their internal stage values

SIAM Journal on Numerical Analysis

Volumn 47, Issue 1, 2008, Pages 181-203

  Debrabant, Kristian ^a   Kværnø, Anne ^b  

^a DARMSTADT UNIVERSITY OF TECHNOLOGY   (Germany)

^b NORWEGIAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Norway)

Author keywords

Composite method; Growth functions; Internal stage values; Iterative scheme; Newton's method; Order; Stochastic b series; Stochastic differential equation; Stochastic Runge Kutta method; Strong approximation; Weak approximation

Indexed keywords

B-SERIES; COMPOSITE METHOD; GROWTH FUNCTIONS; ITERATIVE SCHEMES; NEWTON'S METHODS; STOCHASTIC DIFFERENTIAL EQUATIONS; STRONG APPROXIMATION; WEAK APPROXIMATION;

DIFFERENTIAL EQUATIONS; MEASUREMENT THEORY; NEWTON-RAPHSON METHOD; STOCHASTIC SYSTEMS;

RUNGE KUTTA METHODS;

EID: 58249088540     PISSN: 00361429     EISSN: None     Source Type: Journal    
DOI: 10.1137/070704307     Document Type: Article

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