Runge–Kutta Lawson schemes for stochastic differential equations-Reference-Cited by-同舟云学术

Runge–Kutta Lawson schemes for stochastic differential equations

Published:2021-03-23 Issue:2 Volume:61 Page:381-409
ISSN:0006-3835
Container-title:BIT Numerical Mathematics
language:en
Short-container-title:Bit Numer Math

Author:

Debrabant Kristian^ORCID,Kværnø Anne,Mattsson Nicky Cordua

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Computational Mathematics,Computer Networks and Communications,Software

Link

https://link.springer.com/content/pdf/10.1007/s10543-020-00839-8.pdf

Reference30 articles.

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2. Arnold, L.: Stochastic differential equations: theory and applications. Wiley-Interscience [John Wiley & Sons], New York-London-Sydney (1974). Translated from the German

3. Biscay, R., Jimenez, J.C., Riera, J.J., Valdes, P.A.: Local linearization method for the numerical solution of stochastic differential equations. Ann. Inst. Statist. Math. 48(4), 631–644 (1996). https://doi.org/10.1007/BF00052324

4. Buckwar, E., Kelly, C.: Towards a systematic linear stability analysis of numerical methods for systems of stochastic differential equations. SIAM J. Numer. Anal. 48(1), 298–321 (2010). https://doi.org/10.1137/090771843

5. Buckwar, E., Kelly, C.: Non-normal drift structures and linear stability analysis of numerical methods for systems of stochastic differential equations. Comput. Math. Appl. 64(7), 2282–2293 (2012). https://doi.org/10.1016/j.camwa.2012.02.059

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