Runge‐Kutta methods for monotone differential and stochastic equations
| Type of Publication: | Journal article |
| Publication status: | Published |
| Author: | Kloeden, Peter; Schropp, Johannes |
| Year of publication: | 2003 |
| Published in: | Proceedings in Applied Mathematics and Mechanics : PAMM ; 3 (2003), 1. - pp. 565-566. - eISSN 1617-7061 |
| DOI (citable link): | https://dx.doi.org/10.1002/pamm.200310550 |
| Summary: |
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.
|
| Subject (DDC): | 510 Mathematics |
| Bibliography of Konstanz: | Yes |
| Refereed: | Unknown |
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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.200310550
@article{Kloeden2003-12Runge-43210, title={Runge‐Kutta methods for monotone differential and stochastic equations}, year={2003}, doi={10.1002/pamm.200310550}, 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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