Runge‐Kutta methods for monotone differential and stochastic equations
Runge‐Kutta methods for monotone differential and stochastic equations
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Date
2003
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Kloeden, Peter
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Proceedings in Applied Mathematics and Mechanics : PAMM ; 3 (2003), 1. - pp. 565-566. - eISSN 1617-7061
Abstract
Runge‐Kutta methods which preserve monotonicity for deterministic ordinary differential equations also preserve montonicity for random differential equations albeit with reduced order. However, the only one‐step numerical methods which preserve the montone structure of a monotone stochastic differential equation are the strong Taylor schemes of strong order 0:5 and 1:0.
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510 Mathematics
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KLOEDEN, Peter, Johannes SCHROPP, 2003. Runge‐Kutta methods for monotone differential and stochastic equations. In: Proceedings in Applied Mathematics and Mechanics : PAMM. 3(1), pp. 565-566. eISSN 1617-7061. Available under: doi: 10.1002/pamm.200310550BibTex
@article{Kloeden2003-12Runge-43210, year={2003}, doi={10.1002/pamm.200310550}, title={Runge‐Kutta methods for monotone differential and stochastic equations}, number={1}, volume={3}, journal={Proceedings in Applied Mathematics and Mechanics : PAMM}, pages={565--566}, author={Kloeden, Peter and Schropp, Johannes} }
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