Runge‐Kutta methods for monotone differential and stochastic equations

Kloeden, Peter; Schropp, Johannes

Runge‐Kutta methods for monotone differential and stochastic equations

Dateien

Zu diesem Dokument gibt es keine Dateien.

Datum

2003

Autor:innen

Kloeden, Peter

Schropp, Johannes

DOI (zitierfähiger Link)

https://doi.org/10.1002/pamm.200310550

Sammlungen

Mathematik und Statistik

Publikationstyp

Zeitschriftenartikel

Publikationsstatus

Published

Erschienen in

Proceedings in Applied Mathematics and Mechanics : PAMM. 2003, 3(1), pp. 565-566. eISSN 1617-7061. Available under: doi: 10.1002/pamm.200310550

Zusammenfassung

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.

Fachgebiet (DDC)

510 Mathematik

Zitieren

ISO 690

KLOEDEN, Peter, Johannes SCHROPP, 2003. Runge‐Kutta methods for monotone differential and stochastic equations. In: Proceedings in Applied Mathematics and Mechanics : PAMM. 2003, 3(1), pp. 565-566. eISSN 1617-7061. Available under: doi: 10.1002/pamm.200310550

BibTex

@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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