Two-Stage Stochastic Runge-Kutta Methods for Stochastic Differential Equations

被引：0
作者：
T. H. Tian
K. Burrage
机构：
[1] University of Queensland,Department of Mathematics
来源：
BIT Numerical Mathematics | 2002年 / 42卷
关键词：
Stochastic differential equations; Runge-Kutta methods; numerical stability;
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摘要：
In this paper we discuss two-stage diagonally implicit stochastic Runge-Kutta methods with strong order 1.0 for strong solutions of Stratonovich stochastic differential equations. Five stochastic Runge-Kutta methods are presented in this paper. They are an explicit method with a large MS-stability region, a semi-implicit method with minimum principal error coefficients, a semi-implicit method with a large MS-stability region, an implicit method with minimum principal error coefficients and another implicit method. We also consider composite stochastic Runge-Kutta methods which are the combination of semi-implicit Runge-Kutta methods and implicit Runge-Kutta methods. Two composite methods are presented in this paper. Numerical results are reported to compare the convergence properties and stability properties of these stochastic Runge-Kutta methods.
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页码：625 / 643
页数：18
相关论文
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