A FAMILY OF THREE-STAGE STOCHASTIC RUNGE-KUTTA METHODS WITH ORDER TWO AND THEIR STABILITY

被引：0

作者：

Parsamanesh, Mahmood ^{[1
]}

机构：

[1] Univ Zabol, Fac Sci, Dept Math, Zabol, Iran

来源：

UNIVERSITY POLITEHNICA OF BUCHAREST SCIENTIFIC BULLETIN-SERIES A-APPLIED MATHEMATICS AND PHYSICS | 2020年 / 82卷 / 01期

关键词：

stochastic differential equation; Runge-Kutta method; mean square stability; weak convergence; NUMERICAL-SOLUTION;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, a general form of three-stage Runge-Kutta methods is introduced for numerical solution of stochastic differential systems. The conditions that must be satisfied to methods have weak order two are obtained by comparison between the weak second-order expansion of the methods and the simplified weak order two Taylor scheme. Moreover, some particular solutions of the order conditions are given and then corresponding stochastic Runge-Kutta methods of this family are presented. The Mean-Square stability of the proposed class of methods is considered, the stability function is obtained, and the Region of MS-stability is given. Finally, the obtained methods are compared numerically in some examples.

引用

页码：183 / 196

页数：14

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