Weak order stochastic Runge-Kutta methods for commutative stochastic differential equations

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:203

Article

Komori, Yoshio

关键词: multi-dimensional Wiener process;    commutativity condition;    explicit scheme;    derivative-free;    multiplicative noise;   

DOI  :  10.1016/j.cam.2006.03.010

来源: Elsevier

【 摘 要 】

A new explicit stochastic Runge-Kutta scheme of weak order 2 is proposed under a commutativity condition, which is derivative-free and which attains order 4 for ordinary differential equations. The weak order conditions are derived by utilizing multi-colored rooted tree analysis and a solution is found in a transparent way. The scheme is compared with other derivative-free and weak second order schemes in numerical experiments. (c) 2006 Elsevier B.V. All rights reserved.

【 授权许可】

Free