Classification of stochastic Runge-Kutta methods for the weak approximation of stochastic differential equations

DOI10.1016/J.MATCOM.2007.04.016zbMATH Open1139.65005arXiv1303.4510OpenAlexW2093459613MaRDI QIDQ2483553FDOQ2483553

Authors: Kristian Debrabant, Andreas Rößler 

Publication date: 28 April 2008

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Abstract: In the present paper, a class of stochastic Runge-Kutta methods containing the second order stochastic Runge-Kutta scheme due to E. Platen for the weak approximation of It^o stochastic differential equation systems with a multi-dimensional Wiener process is considered. Order one and order two conditions for the coefficients of explicit stochastic Runge-Kutta methods are solved and the solution space of the possible coefficients is analyzed. A full classification of the coefficients for such stochastic Runge-Kutta schemes of order one and two with minimal stage numbers is calculated. Further, within the considered class of stochastic Runge-Kutta schemes coefficients for optimal schemes in the sense that additionally some higher order conditions are fulfilled are presented.

Full work available at URL: https://arxiv.org/abs/1303.4510

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zbMATH Keywords

classificationnumerical examplesnumerical exampleweak approximationstochastic Runge-Kutta methodoptimal schemeItô stochastic differential equation systems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

Cites Work

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Cited In (15)

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• Families of efficient second order Runge-Kutta methods for the weak approximation of Itô stochastic differential equations
• Uncertainty Quantification for Hyperbolic Conservation Laws with Flux Coefficients Given by Spatiotemporal Random Fields
• Модели стохастической динамики развития производственных предприятий с запаздывающими внутренними и внешними инвестициями
• An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations
• Second order Runge-Kutta methods for Stratonovich stochastic differential equations
• Weak second-order conditions of Runge-Kutta method for stochastic optimal control problems
• Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations
• Second order Runge-Kutta methods for Itô stochastic differential equations
• Issues in the Software Implementation of Stochastic Numerical Runge–Kutta
• A discrete optimality system for an optimal harvesting problem
• Continuous weak approximation for stochastic differential equations
• Weak Second Order Conditions for Stochastic Runge--Kutta Methods
• Математические модели стохастической динамики развития предприятий
• Stochastic Runge-Kutta Rosenbrock type methods for SDE systems

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