Strong first order S-ROCK methods for stochastic differential equations

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:242

Article

Komori, Yoshio¹  Burrage, Kevin^2,3 

[1] Kyushu Inst Technol, Dept Syst Design & Informat, Iizuka, Fukuoka 8208502, Japan

[2] Univ Oxford, Dept Comp Sci, Oxford OX1 3QD, England

[3] Queensland Univ Technol, Discipline Math, Brisbane, Qld 4001, Australia

关键词: Explicit method;    Mean square stability;    Stochastic orthogonal Runge-Kutta Chebyshev method;   

DOI  :  10.1016/j.cam.2012.10.026

来源: Elsevier

【 摘 要 】

Explicit stochastic Runge-Kutta (SRK) methods are constructed for non-commutative Ita 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 Realer (2010). In order to check their convergence order, stability properties and computational efficiency, some numerical experiments will be performed. (C) 2012 Elsevier B.V. All rights reserved.

【 授权许可】

Free