Stochastic Runge–Kutta methods for multi-dimensional Itô stochastic differential algebraic equations

Stochastic Runge–Kutta methods for multi-dimensional Itô stochastic differential algebraic equations

In this paper, we discuss the numerical solutions to index 1 stochastic differential algebraic equations. We introduce a new class of weak second-order stochastic Runge–Kutta methods for finding the numerical approximate solutions to multi-dimensional stochastic differential algebraic equations. A f...

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Bibliographic Details
Main Authors: Priya Nair, Anandaraman Rathinasamy
Format: Article
Language:English
Published: Elsevier 2021-11-01
Series:Results in Applied Mathematics
Subjects:
Stochastic differential algebraic equations
Stochastic Runge–Kutta methods
T-stability
Mean-square stability
Stiffly accurate
Weak convergence
Online Access:http://www.sciencedirect.com/science/article/pii/S2590037421000364

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http://www.sciencedirect.com/science/article/pii/S2590037421000364

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