Economical Runge-Kutta methods with strong global order one for stochastic differential equations |
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| Authors: | F Costabile A Napoli |
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| Institution: | Department of Mathematics, University of Calabria, 87036 Rende (Cs), Italy |
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| Abstract: | Economical Runge-Kutta schemes for the numerical solution of Stratonovich stochastic differential equations are proposed. The methods have strong global order 1. Numerical stability is studied and some examples are presented to support the theoretical results. |
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| Keywords: | Stochastic differential equations Stochastic Taylor expansion Mean-square stability |
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