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

✍ Scribed by Dominique Küpper, Anne Kværnø, Andreas Rößler

Book ID
113062123
Publisher
Springer Netherlands
Year
2011
Tongue
English
Weight
793 KB
Volume
52
Category
Article
ISSN
0006-3835

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✍ Yoshio Komori 📂 Article 📅 2008 🏛 Elsevier Science 🌐 English ⚖ 363 KB

New fully implicit stochastic Runge-Kutta schemes of weak order 1 or 2 are proposed for stochastic differential equations with sufficiently smooth drift and diffusion coefficients and a scalar Wiener process, which are derivative-free and which are A-stable in mean square for a linear test equation