On a Class of Stochastic Runge Kutta Methods
نویسنده
چکیده
For the numerical solution of stochastic differential equations explicit economical three-stage Runge-Kutta schemes of weak second order have been proposed in a previous work. Here numerical stability of these methods is studied and some examples are presented to support the theoretical results. Mathematics Subject Classification: 60H10
منابع مشابه
Supplement: Efficient weak second order stochastic Runge-Kutta methods for non-commutative Stratonovich stochastic differential equations
This paper gives a modification of a class of stochastic Runge-Kutta methods proposed in a paper by Komori (2007). The slight modification can reduce the computational costs of the methods significantly.
متن کاملHigh Strong Order Explicit Runge-kutta Methods for Stochastic Ordinary Diierential Equations
The pioneering work of Runge and Kutta a hundred years ago has ultimately led to suites of sophisticated numerical methods suitable for solving complex systems of deterministic ordinary diierential equations. However, in many modelling situations, the appropriate representation is a stochastic diier-ential equation and here numerical methods are much less sophisticated. In this paper a very gen...
متن کاملNumerical Solution of Stochastic Differential Equations with Additive Noise by Runge–Kutta Methods
Abstract: In this paper we study the numerical treatment of Stochastic Differential Equations with additive noise and one dimensional Wiener process. We develop two, three and four stage Runge–Kutta methods which attain deterministic order up to four and stochastic order up to one and a half specially constructed for this class of problems. Numerical tests and comparisons with other known metho...
متن کاملStochastic Variational Partitioned Runge-Kutta Integrators for Constrained Systems
Stochastic variational integrators for constrained, stochastic mechanical systems are developed in this paper. The main results of the paper are twofold: an equivalence is established between a stochastic Hamilton-Pontryagin (HP) principle in generalized coordinates and constrained coordinates via Lagrange multipliers, and variational partitioned Runge-Kutta (VPRK) integrators are extended to t...
متن کاملStochastic Diffusion Problems: Comparison Between Euler-Maruyama and Runge-Kutta Schemes
Using a class of stochastic Euler and Runge-Kutta methods, we numerically solve a reaction-diffusion equation with additive random excitation. By discretizing the space and the associated stochastic differential system, we present a comparison of the diffusibility behaviors between the schemes above. The model presented here consists of reaction-diffusion equations describing the evolution of t...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2012