Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations

被引:16
作者
Burrage, K [1 ]
Tian, T [1 ]
机构
[1] Univ Queensland, Dept Math, St Lucia, Qld 4067, Australia
关键词
stochastic differential equations; Runge-Kutta methods; stability; stiff accuracy;
D O I
10.1016/S0010-4655(01)00324-1
中图分类号
TP39 [计算机的应用];
学科分类号
081203 ; 0835 ;
摘要
In this paper we discuss implicit methods based on stiffly accurate Runge-Kutta methods and splitting techniques for solving Stratonovich stochastic differential equations (SDEs). Two splitting techniques: the balanced splitting technique and the deterministic splitting technique, are used in this paper. We construct a two-stage implicit Runge-Kutta method with strong order 1.0 which is corrected twice and no update is needed. The stability properties and numerical results show that this approach is suitable for solving stiff SDEs. (C) 2001 Elsevier Science B.V. All rights reserved.
引用
收藏
页码:186 / 190
页数:5
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