Classification of stochastic Runge-Kutta methods for the weak approximation of stochastic differential equations
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Publication:2483553
classificationnumerical examplesnumerical exampleweak approximationstochastic Runge-Kutta methodoptimal schemeItô stochastic differential equation systems
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)
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.
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Cited in
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- Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations
- Second order Runge-Kutta methods for Itô stochastic differential equations
- Continuous weak approximation for stochastic differential equations
- An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations
- Families of efficient second order Runge-Kutta methods for the weak approximation of Itô stochastic differential equations
- Second order Runge-Kutta methods for Stratonovich stochastic differential equations
- Stochastic model of movement of a group of individuals in a space with boundaries taking into account their social behavior;Стохастическая модель движения группы индивидов в ограниченном пространстве с учетом их социального поведения
- Stochastic calculation of curves dynamics of enterprise
- Weak second-order conditions of Runge-Kutta method for stochastic optimal control problems
- Issues in the Software Implementation of Stochastic Numerical Runge–Kutta
- Models of stochastic dynamics of development of industrial enterprises with lagging internal and external investments
- A discrete optimality system for an optimal harvesting problem
- Stochastic Runge-Kutta Rosenbrock type methods for SDE systems
- Weak Second Order Conditions for Stochastic Runge--Kutta Methods
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