Name
Abstract | ||
|---|---|---|
In this paper, general order conditions and a global convergence proof are given for stochastic Runge--Kutta methods applied to stochastic ordinary differential equations (SODEs) of Stratonovich type. This work generalizes the ideas of B-series as applied to deterministic ordinary differential equations (ODEs) to the stochastic case and allows a completely general formalism for constructing high order stochastic methods, either explicit or implicit. Some numerical results will be given to illustrate this theory. |
Year | DOI | Venue |
|---|---|---|
2000 | 10.1137/S0036142999363206 | SIAM Journal on Numerical Analysis |
Keywords | Field | DocType |
stochastic differential equations,B-series,Runge-Kutta methods,global convergence | Numerical methods for ordinary differential equations,Applied mathematics,Runge–Kutta methods,Runge–Kutta method,Stochastic optimization,Stratonovich integral,Mathematical analysis,Stochastic calculus,Stochastic differential equation,Stochastic partial differential equation,Mathematics | Journal |
Volume | Issue | ISSN |
38 | 5 | 0036-1429 |
Citations | PageRank | References |
7 | 2.58 | 0 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| K. Burrage | 1 | 236 | 36.73 |
| Pamela Burrage | 2 | 19 | 7.59 |