Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process (Q929918)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process |
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Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process (English)
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19 June 2008
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Two implicit stochastic Runge-Kutta schemes, one of weak order 1 and the other of weak order 2, are developed for approximating the solution of a Stratonovich stochastic differential equation. Conditions are specified under which the schemes are mean square \(A\)-stable. Favorable numerical results for two examples are summarized.
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MS-stability
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A-stability
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derivative-free
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multiplicative noise
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bi-colored rooted tree
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Stratonovich stochastic differential equation
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polynomially bounded differential functions
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implicit stochastic Runge-Kutta schemes
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