A class of orthogonal integrators for stochastic differential equations

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:182

Article

Carbonell, F ; Jimenez, JC ; Biscay, RJ

关键词: orthogonal integrators;    stochastic differential equations;    Runge-Kutta schemes;   

DOI  :  10.1016/j.cam.2004.12.016

来源: Elsevier

【 摘 要 】

The purpose of this paper is to construct a class of orthogonal integrators for stochastic differential equations (SDEs). The family of SDEs with orthogonal solutions is univocally characterized. For this, a class of orthogonal integrators is introduced by imposing constraints to Runge-Kutta (RK) matrices and weights of the standard stochastic RK schemes. The performance of the method is illustrated by means of numerical simulations. (c) 2005 Elsevier B.V. All rights reserved.

【 授权许可】

Free