Runge-Kutta methods for Ito stochastic differential equations with scalar noise

被引：44

作者：

Rössler, A ^{[1
]}

机构：

[1] Tech Univ Darmstadt, Fachbereich Math, D-64289 Darmstadt, Germany

来源：

BIT NUMERICAL MATHEMATICS | 2006年 / 46卷 / 01期

关键词：

stochastic Runge-Kutta method; stochastic differential equation; colored rooted tree analysis; weak approximation; numerical method;

D O I：

10.1007/s10543-005-0039-7

中图分类号：

TP31 [计算机软件];

学科分类号：

081202 ; 0835 ;

摘要：

A general class of stochastic Runge-Kutta methods for Ito stochastic differential equation systems w.r.t. a one-dimensional Wiener process is introduced. The colored rooted tree analysis is applied to derive conditions for the coefficients of the stochastic Runge-Kutta method assuring convergence in the weak sense with a prescribed order. Some coefficients for new stochastic Runge-Kutta schemes of order two are calculated explicitly and a simulation study reveals their good performance.

引用

页码：97 / 110

页数：14

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