Strong first order -ROCK methods for stochastic differential equations

• Autores: Yoshio Komori, Kevin Burrage
• Localización: Journal of computational and applied mathematics, ISSN 0377-0427, Vol. 242, Nº 1, 2013, págs. 261-274
• Idioma: inglés
• DOI: 10.1016/j.cam.2012.10.026
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• Resumen

  • Explicit stochastic Runge�Kutta (SRK) methods are constructed for non-commutative Itô and Stratonovich stochastic differential equations. Our aim is to derive explicit SRK schemes of strong order one, which are derivative free and have large stability regions.

    In the present paper, this will be achieved by embedding Chebyshev methods for ordinary differential equations in SRK methods proposed by Rößler (2010). In order to check their convergence order, stability properties and computational efficiency, some numerical experiments will be performed.