Families of efficient second order Runge-Kutta methods for the weak approximation of Itô stochastic differential equations

DOI10.1016/J.APNUM.2008.03.012zbMATH Open1166.65303arXiv1303.5103OpenAlexW2081214017MaRDI QIDQ1007380FDOQ1007380

Authors: Kristian Debrabant, Andreas Rößler 

Publication date: 20 March 2009

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Abstract: Recently, a new class of second order Runge-Kutta methods for It^o stochastic differential equations with a multidimensional Wiener process was introduced by R"o{ss}ler. In contrast to second order methods earlier proposed by other authors, this class has the advantage that the number of function evaluations depends only linearly on the number of Wiener processes and not quadratically. In this paper, we give a full classification of the coefficients of all explicit methods with minimal stage number. Based on this classification, we calculate the coefficients of an extension with minimized error constant of the well-known RK32 method to the stochastic case. For three examples, this method is compared numerically with known order two methods and yields very promising results.

Full work available at URL: https://arxiv.org/abs/1303.5103

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zbMATH Keywords

classificationstochastic differential equationweak approximationstochastic Runge-Kutta methodoptimal scheme

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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Cited In (23)

• Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems
• Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies
• Weak second order S-ROCK methods for Stratonovich stochastic differential equations
• A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems
• A micro-macro acceleration method for the Monte Carlo simulation of stochastic differential equations
• Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations
• Classification of stochastic Runge-Kutta methods for the weak approximation of stochastic differential equations
• Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations
• Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis
• On the stability of some second order numerical methods for weak approximation of Itô SDEs
• Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations
• Physically consistent simulation of mesoscale chemical kinetics: the non-negative FIS-\(\alpha\) method
• Second order Runge-Kutta methods for Itô stochastic differential equations
• Stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential algebraic equations
• A Monte Carlo method for 3D radiative transfer equations with multifractional singular kernels
• Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion
• Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise
• Weak Second Order Conditions for Stochastic Runge--Kutta Methods
• Analysis of asymptotic mean-square stability of a class of Runge-Kutta schemes for linear systems of stochastic differential equations
• Stochastic Runge-Kutta Rosenbrock type methods for SDE systems
• Supplement: Efficient weak second order stochastic Runge-Kutta methods for non-commutative Stratonovich stochastic differential equations
• Title not available (Why is that?)
• Second order weak Runge-Kutta type methods for Itô equations

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