A class of orthogonal integrators for stochastic differential equations |
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| Institution: | Departamento de Sistemas Adaptativos, Instituto de Cibernética, Matemática y Física, Calle 15, No. 551, e/ C y D, Vedado, La Habana 4, C.P. 10400, Havana, Cuba |
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| Abstract: | The purpose of this paper is to construct a class of orthogonal integrators for stochastic differential equations (SDEs). The family of SDEs with orthogonal solutions is univocally characterized. For this, a class of orthogonal integrators is introduced by imposing constraints to Runge–Kutta (RK) matrices and weights of the standard stochastic RK schemes.The performance of the method is illustrated by means of numerical simulations. |
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