Cheap arbitrary high order methods for single integrand SDEs (Q512852): Difference between revisions

B-series are used to prove that deterministic Runge-Kutta methods of order \(p_d\) applied to the Stratonovich stochastic differential equation \[ dX=\lambda f(X)\,dt+\sigma f(X)\circ dW,\quad X(t_0)= x_0, \] where \(W(t)\) is a Wiener process, \(\lambda\in\{0, 1\}\), and \(\sigma\) is a constant, attain both mean-square and weak, convergence or order \(\left\lfloor{p_d\over 2}\right\rfloor\). Computational agreement with this result is demonstrated using error plots of numerical experiments for three examples.