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A Runge-Kutta method for index 1 stochastic differential-algebraic equations with scalar noise

Author
KÜPPER, Dominique1 ; KVAERNØ, Anne2 ; RÖSSLER, Andreas3
[1] Fachbereich Mathematik, Technische Universitat Darmstadt, Schlossgartenstr. 7, 64289 Darmstadt, Germany
[2] Department of Mathematical Sciences. Norwegian University of Science and Technology, Trondheim, Norway
[3] Mathematisches Institut. Albert-Ludwigs-Universität Freiburg, EckerstraBe 1, 79104 Freiburg, Germany
Source

BIT (Nordisk Tidskrift for Informationsbehandling). 2012, Vol 52, Num 2, pp 437-455, 19 p ; ref : 19 ref

CODEN
NBITAB
ISSN
0006-3835
Scientific domain
Computer science; Mathematics
Publisher
Springer, Dordrecht
Publication country
Netherlands
Document type
Article
Language
English
Author keyword
65C30 65L06 65L20 65L80 Mean-square convergence Mean-square stability Stiffly accurate Stochastic Runge-Kutta method Stochastic differential-algebraic equation
Keyword (fr)
Analyse numérique Convergence Equation algébrique Equation différentielle Equation intégrale Equation non linéaire Equation stochastique Equation transcendante Extrapolation Méthode Runge Kutta Méthode multipas Méthode stochastique Stabilité numérique 65C30 65Cxx 65Hxx 65L06
Keyword (en)
Numerical analysis Convergence Algebraic equation Differential equation Integral equation Non linear equation Stochastic equation Transcendental equation Extrapolation Runge Kutta method Multistep method Stochastic method Numerical stability
Keyword (es)
Análisis numérico Convergencia Ecuación algebraica Ecuación diferencial Ecuación integral Ecuación no lineal Ecuación estocástica Ecuación trascendente Extrapolación Método Runge Kutta Método multipaso Método estocástico Estabilidad numérica
Classification
Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02I Numerical analysis. Scientific computation / 001A02I01 Numerical analysis / 001A02I01G Nonlinear algebraic and transcendental equations

Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02I Numerical analysis. Scientific computation / 001A02I01 Numerical analysis / 001A02I01I Ordinary differential equations

Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02I Numerical analysis. Scientific computation / 001A02I01 Numerical analysis / 001A02I01Q Numerical methods in probability and statistics

Discipline
Mathematics
Origin
Inist-CNRS
Database
PASCAL
INIST identifier
26043189

Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS

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