Classification of stochastic Runge-Kutta methods for the weak approximation of stochastic differential equations

In the present paper, a class of stochastic Runge-Kutta methods containing the second order stochastic Runge-Kutta scheme due to E. Platen for the weak approximation of W stochastic differential equation systems with a multi-dimensional Wiener process is considered. Order 1 and order 2 conditions for the coefficients of explicit stochastic Runge-Kutta methods are solved and the solution space of the possible coefficients is analyzed. A full classification of the coefficients for such stochastic Runge-Kutta schemes of order 1 and two with minimal stage numbers is calculated. Further, within the considered class of stochastic Runge-Kutta schemes coefficients for optimal schemes in the sense that additionally some higher order conditions are fulfilled are presented. (c) 2007 IMACS. Published by Elsevier B.V. All rights reserved.