Economical Runge-Kutta methods with strong global order one for stochastic differential equations

被引：5

作者：

Costabile, F. ^{[1
]}

Napoli, A. ^{[1
]}

机构：

[1] Univ Calabria, Dept Math, I-87036 Arcavacata Di Rende, Cs, Italy

来源：

APPLIED NUMERICAL MATHEMATICS | 2011年 / 61卷 / 02期

关键词：

Stochastic differential equations; Stochastic Taylor expansion; Mean-square stability; NUMERICAL-SOLUTION;

D O I：

10.1016/j.apnum.2010.09.001

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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. (C) 2010 IMACS. Published by Elsevier B.V. All rights reserved.

引用

页码：160 / 169

页数：10

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