Three-stage Stiffly Accurate Runge-Kutta Methods for Stiff Stochastic Differential Equations

被引：0
|
作者：
WANG PENG (Institute of Mathematics
机构：
来源：
CommunicationsinMathematicalResearch | 2011年 / 27卷 / 02期
关键词：
stochastic differential equation; Runge-Kutta method; stability; stiff accuracy;
D O I：
10.13447/j.1674-5647.2011.02.002
中图分类号：
O211.63 [随机微分方程];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper we discuss diagonally implicit and semi-implicit methods based on the three-stage stiffly accurate Runge-Kutta methods for solving Stratonovich stochastic differential equations(SDEs).Two methods,a three-stage stiffly accurate semi-implicit(SASI3) method and a three-stage stiffly accurate diagonally implicit (SADI3) method,are constructed in this paper.In particular,the truncated random variable is used in the implicit method.The stability properties and numerical results show the effectiveness of these methods in the pathwise approximation of stiff SDEs.
引用
收藏
页码：105 / 113
页数：9
相关论文
共 50 条
  • [41] Second order Runge-Kutta methods for Stratonovich stochastic differential equations
    Roessler, Andreas
    BIT NUMERICAL MATHEMATICS, 2007, 47 (03) : 657 - 680
  • [42] Runge-Kutta methods for fuzzy differential equations
    Palligkinis, S. Ch.
    Papageorgiou, G.
    Famelis, I. Th.
    APPLIED MATHEMATICS AND COMPUTATION, 2009, 209 (01) : 97 - 105
  • [43] Runge-Kutta methods for Fuzzy Differential Equations
    Palligkinis, S. Ch.
    Papageorgiou, G.
    Famelis, I. Th.
    Advances in Computational Methods in Sciences and Engineering 2005, Vols 4 A & 4 B, 2005, 4A-4B : 444 - 448
  • [44] Runge-Kutta Methods for Ordinary Differential Equations
    Butcher, J. C.
    NUMERICAL ANALYSIS AND OPTIMIZATION, NAO-III, 2015, 134 : 37 - 58
  • [45] Stochastic Runge-Kutta Software Package for Stochastic Differential Equations
    Gevorkyan, M. N.
    Velieva, T. R.
    Korolkova, A. V.
    Kulyabov, D. S.
    Sevastyanov, L. A.
    DEPENDABILITY ENGINEERING AND COMPLEX SYSTEMS, 2016, 470 : 169 - 179
  • [46] B-Theory of Runge-Kutta methods for stiff Volterra functional differential equations
    李寿佛
    ScienceinChina,SerA., 2003, Ser.A.2003 (05) : 662 - 674
  • [47] The geometric stricture of the parameter space of the three-stage symplectic Runge-Kutta methods
    Elenin G.G.
    Shlyakhov P.I.
    Mathematical Models and Computer Simulations, 2011, 3 (6) : 680 - 689
  • [48] B-Theory of Runge-Kutta methods for stiff Volterra functional differential equations
    李寿佛
    Science China Mathematics, 2003, (05) : 662 - 674
  • [49] ON IMPLICIT RUNGE-KUTTA METHODS WITH A GLOBAL ERROR ESTIMATION FOR STIFF DIFFERENTIAL-EQUATIONS
    SCHOLZ, S
    ZEITSCHRIFT FUR ANGEWANDTE MATHEMATIK UND MECHANIK, 1989, 69 (08): : 253 - 257
  • [50] B-Theory of Runge-Kutta methods for stiff Volterra functional differential equations
    Li, SF
    SCIENCE IN CHINA SERIES A-MATHEMATICS, 2003, 46 (05): : 662 - 674
12345