in this paper, a class of semi-implicit two-stage stochastic runge-kutta methods (srks) of strong global order one, with minimum principal error constants are given. these methods are applied to solve itô stochastic differential equations (sdes) with a wiener process. the efficiency of this method with respect to explicit two-stage itô runge-kutta methods (irks), it method, milstien method, sem...

Continuous-time nonlinear stochastic differential state and measurement equations, all of which have coefficients capable of abrupt changes at a random time, are considered; finite-state jump Markov chains are used to model the changes. Conditional probability densities, which are essential in obtaining filtered estimates for these hybrid systems, are then derived. They are governed by a couple...

We introduce a new family of explicit integrators for stiff Itô stochastic differential equations (SDEs) of weak order two. These numerical methods belong to the class of onestep stabilized methods with extended stability domains and do not suffer from stepsize reduction that standard explicit methods face. The family is based on the classical stabilized methods of order two for deterministic p...