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.

引用

页码：324 / 327

页数：4

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