Weak order stochastic Runge–Kutta methods for commutative stochastic differential equations |
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Authors: | Yoshio Komori |
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Affiliation: | Department of Systems Innovation and Informatics, Kyushu Institute of Technology, Iizuka 820-8502, Japan |
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Abstract: | A new explicit stochastic Runge–Kutta scheme of weak order 2 is proposed under a commutativity condition, which is derivative-free and which attains order 4 for ordinary differential equations. The weak order conditions are derived by utilizing multi-colored rooted tree analysis and a solution is found in a transparent way. The scheme is compared with other derivative-free and weak second order schemes in numerical experiments. |
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Keywords: | Multi-dimensional Wiener process Commutativity condition Explicit scheme Derivative-free Multiplicative noise |
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