Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise

被引：33

作者：

Rössler, A ^{[1
]}

机构：

[1] TH Darmstadt, Fachbereich Math, D-64289 Darmstadt, Germany

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2004年 / 164卷

关键词：

stochastic differential equations; weak approximation; Runge-Kutta methods; numerical methods;

D O I：

10.1016/j.cam.2003.09.009

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

A class of explicit stochastic Runge-Kutta (SRK) methods for Stratonovich stochastic differential equation systems w.r.t. m-dimensional Wiener processes satisfying a commutativity condition is developed. General conditions for the coefficients of the SRK method assuring convergence with order two in the weak sense are presented. Due to the commutativity condition, no correlated random variables have to be generated for the considered Runge-Kutta methods. (C) 2003 Elsevier B.V. All rights reserved.

引用

页码：613 / 627

页数：15

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