Runge Kutta Families for Additive Noise Stochastic Differential Equations.

被引：0

作者：

Famelis, Ioannis Th. ^{[1
]}

Xanthos, Foivos ^{[2
]}

Papageorgiou, George ^{[2
]}

机构：

[1] TEI Athens, Dept Math, GR-12210 Athens, Greece

[2] NTUA, Sch Appl Math & Phys Sci, Zografos, Greece

来源：

NUMERICAL ANALYSIS AND APPLIED MATHEMATICS | 2008年 / 1048卷

关键词：

Stochastic Differential Equations; Additive Noise; Numerical Solution; Runge-Kutta methods;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We present families of explicit Runge-Kutta Methods for the numerical treatment of Stochastic Differential Equations with additive noise and one dimensional Wiener process. We study methods with two, three and four stages attaining deterministic order up to four and stochastic orders one and one and a half. The methods are tested in the solution of various problems and are compared with known other methods. The results modify our effort.

引用

页码：182 / +

页数：2