A class of orthogonal integrators for stochastic differential equations

被引：1

作者：

Carbonell, F ^{[1
]}

Jimenez, JC ^{[1
]}

Biscay, RJ ^{[1
]}

机构：

[1] Inst Cibernet Matemat & Fis, Dept Sistemas Adaptativos, Havana 10400, Cuba

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2005年 / 182卷 / 02期

关键词：

orthogonal integrators; stochastic differential equations; Runge-Kutta schemes;

D O I：

10.1016/j.cam.2004.12.016

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：350 / 361

页数：12

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