𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Three-stage stochastic Runge–Kutta methods for stochastic differential equations

✍ Scribed by Peng Wang

Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
493 KB
Volume
222
Category
Article
ISSN
0377-0427

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Weak first- or second-order implicit Run
Weak first- or second-order implicit Runge–Kutta methods for stochastic differential equations with a scalar Wiener process
✍ 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

Stability of IMEX Runge–Kutta methods fo
Stability of IMEX Runge–Kutta methods for delay differential equations
✍ Toshiyuki Koto 📂 Article 📅 2008 🏛 Elsevier Science 🌐 English ⚖ 353 KB

Stability of IMEX (implicit-explicit) Runge-Kutta methods applied to delay differential equations (DDEs) is studied on the basis of the scalar test equation du/dt = u(t) + u(t -), where is a constant delay and , are complex parameters. More specifically, P-stability regions of the methods are define