Two four-stage semi-implicit stochastic Runge-Kutta methods

被引：0
|
作者：
Yan, Gangfeng [1 ]
机构：
[1] Chengdu Univ, Coll Informat Sci & Engn, Chengdu, Sichuan, Peoples R China
来源：
2018 11TH INTERNATIONAL SYMPOSIUM ON COMPUTATIONAL INTELLIGENCE AND DESIGN (ISCID), VOL 2 | 2018年
关键词：
Stratonovich stochastic differential equations; Bi-colored rooted; Runge-Kutta method; Mean-square stability;
D O I：
10.1109/ISCID.2018.10175
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
In this paper, according to colored rooted tree theory, two four-stage semi-implicit stochastic Runge-Kutta methods with strong order 1.5 are presented for the solution of Stratonovich stochastic differential equations. The mean-square stability properties and computation precision of these methods are discussed. The stability properties and numerical results show the effectiveness of these methods for solving Stratonovich stochastic differential equations.
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页码：324 / 327
页数：4
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