Three-stage Stochastic Runge-Kutta methods for stochastic differential equations

被引：19

作者：

Wang, Peng ^{[1
]}

机构：

[1] Jilin Univ, Inst Math, Changchun 130012, Peoples R China

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2008年 / 222卷 / 02期

关键词：

Stochastic differential equation; Runge-Kutta method; Numerical stability; Order condition; Principal error coefficient;

D O I：

10.1016/j.cam.2007.11.001

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper we discuss three-stage stochastic Rungee-Kutta (SRK) methods with strong order 1.0 for a strong solution of Stratonovich stochastic differential equations (SDEs). Higher deterministic order is considered, Two methods, a three-stage explicit (E3) method and a three-stage semi-implicit (S13) method, are constructed in this paper. The stability properties and numerical results show the effectiveness of these methods in the pathwise approximation of several standard test problems. (c) 2007 Elsevier B.V. All rights reserved.

引用

页码：324 / 332

页数：9

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