Three-stage stochastic Runge–Kutta methods for stochastic differential equations |
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Authors: | Peng Wang |
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Institution: | Institute of Mathematics, Jilin University, Changchun 130012, PR China |
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Abstract: | In this paper we discuss three-stage stochastic Runge–Kutta (SRK) methods with strong order 1.0 for a strong solution of Stratonovich stochastic differential equations (SDEs). Higher deterministic order is considered. Two methods, a three-stage explicit (E3) method and a three-stage semi-implicit (SI3) method, are constructed in this paper. The stability properties and numerical results show the effectiveness of these methods in the pathwise approximation of several standard test problems. |
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Keywords: | 60H10 65L06 65L20 |
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