A Runge-Kutta method for index 1 stochastic differential-algebraic equations with scalar noise

BIT Numerical Mathematics

Volumn 52, Issue 2, 2012, Pages 437-455

  Küpper, Dominique ^a   Kværnø, Anne ^b   Rößler, Andreas ^c  

^a DARMSTADT UNIVERSITY OF TECHNOLOGY   (Germany)

^b NORWEGIAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Norway)

^c UNIVERSITY OF FREIBURG   (Germany)

Author keywords

Mean square convergence; Mean square stability; Stiffly accurate; Stochastic differential algebraic equation; Stochastic Runge Kutta method

Indexed keywords

EID: 84862580470     PISSN: 00063835     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10543-011-0354-0     Document Type: Article

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