Result: Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise
Title:
Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise
Authors:
Source:
Proceedings of the 10th International Congress on Computational and Applied Mathematics (ICCAM-2002), University of Leuven, Belgium, 22-26 July 2002Journal of computational and applied mathematics. 164-65:613-627
Publisher Information:
Amsterdam: Elsevier, 2004.
Publication Year:
2004
Physical Description:
print, 16 ref
Original Material:
INIST-CNRS
Subject Terms:
Computer science, Informatique, Mathematics, Mathématiques, Sciences exactes et technologie, Exact sciences and technology, Sciences et techniques communes, Sciences and techniques of general use, Mathematiques, Mathematics, Analyse mathématique, Mathematical analysis, Equations différentielles, Ordinary differential equations, Analyse numérique. Calcul scientifique, Numerical analysis. Scientific computation, Analyse numérique, Numerical analysis, Probabilités et statistiques numériques, Numerical methods in probability and statistics, Analyse numérique, Numerical analysis, Análisis numérico, Convergence, Convergencia, Equation différentielle, Differential equation, Ecuación diferencial, Equation stochastique, Stochastic equation, Ecuación estocástica, Mathématiques appliquées, Applied mathematics, Matemáticas aplicadas, Méthode Runge Kutta, Runge Kutta method, Método Runge Kutta, Méthode stochastique, Stochastic method, Método estocástico, Système différentiel, Differential system, Systema diferencial, Système stochastique, Stochastic system, Sistema estocástico, Système équation, Equation system, Sistema ecuación, Variable aléatoire, Random variable, Variable aléatoria, 34XX, 65C30
Document Type:
Conference
Conference Paper
File Description:
text
Language:
English
Author Affiliations:
Darmstadt University of Technology, Fachbereich Mathematik, Schlossgartenstr. 7, 64289 Darmstadt, Germany
ISSN:
0377-0427
Rights:
Copyright 2004 INIST-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
Notes:
Mathematics
Accession Number:
edscal.15526235
Database:
PASCAL Archive
Further Information
A class of explicit stochastic Runge-Kutta (SRK) methods for Stratonovich stochastic differential equation systems w.r.t. m-dimensional Wiener processes satisfying a commutativity condition is developed. General conditions for the coefficients of the SRK method assuring convergence with order two in the weak sense are presented. Due to the commutativity condition, no correlated random variables have to be generated for the considered Runge-Kutta methods.