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

DOI10.1016/J.APNUM.2008.03.012MaRDI QIDQ1007380zbMATH OpenOpenAlexFDO

Authors Kristian Debrabant, Andreas Rößler

Publication date 20 March 2009

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

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

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)

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.

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Cited in

(23)

• Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise
• Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations
• Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies
• Second order Runge-Kutta methods for Itô stochastic differential equations
• Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems
• A micro-macro acceleration method for the Monte Carlo simulation of stochastic differential equations
• Analysis of asymptotic mean-square stability of a class of Runge-Kutta schemes for linear systems of stochastic differential equations
• Weak second order S-ROCK methods for Stratonovich stochastic differential equations
• Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion
• Supplement: Efficient weak second order stochastic Runge-Kutta methods for non-commutative Stratonovich stochastic differential equations
• Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations
• scientific article; zbMATH DE number 1844148 (Why is no real title available?)
• Physically consistent simulation of mesoscale chemical kinetics: the non-negative FIS-\(\alpha\) method
• A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems
• Stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential algebraic equations
• Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis
• Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations
• Second order weak Runge-Kutta type methods for Itô equations
• Stochastic Runge-Kutta Rosenbrock type methods for SDE systems
• Classification of stochastic Runge-Kutta methods for the weak approximation of stochastic differential equations
• On the stability of some second order numerical methods for weak approximation of Itô SDEs
• Weak Second Order Conditions for Stochastic Runge--Kutta Methods
• A Monte Carlo method for 3D radiative transfer equations with multifractional singular kernels

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