Explicit Stochastic Runge-Kutta Methods with Large Stability Regions

被引：1
|
作者：
Burrage, Kevin [1 ]
Komori, Yoshio [2 ]
机构：
[1] Univ Oxford, Comp Lab, Wolfson Bldg,Parks Rd, Oxford OX1 3QD, England
[2] Kyushu Inst Technol, Dept Informat Syst, Fukuoka 6804, Japan
来源：
NUMERICAL ANALYSIS AND APPLIED MATHEMATICS, VOLS I-III | 2010年 / 1281卷
关键词：
DIFFERENTIAL-EQUATIONS; WEAK; POLYNOMIALS;
D O I：
10.1063/1.3498353
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
Our aim is to derive explicit Runge-Kutta schemes for Stratonovich stochastic differential equations with a multidimensional Wiener process, which are of weak order 2 and which have large stability regions. This has been achieved by the use of a technique in Chebyshev methods for ordinary differential equations. In this talk, large stability regions of our schemes will be shown. Concerning convergence order and stability properties, the schemes will be tested in numerical experiments.
引用
收藏
页码：2057 / +
页数：2
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