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

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:206

Article

Komori, Yoshio

关键词: multi-dimensional Wiener process;    explicit scheme;    derivative-free;    multiplicative noise;    multi-colored rooted tree;   

DOI  :  10.1016/j.cam.2006.06.006

来源: Elsevier

【 摘 要 】

A new explicit stochastic Runge-Kutta scheme of weak order 2 is proposed for non-commutative stochastic differential equations (SIDEs), which is derivative-free and which attains order 4 for ordinary differential equations. The scheme is directly applicable to Stratonovich SDEs and uses 2m - 1 random variables for one step in the in-dimensional Wiener process case. It 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