High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations (Q5961735)

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scientific article; zbMATH DE number 982629
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High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
scientific article; zbMATH DE number 982629

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    High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations (English)
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    5 August 1997
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    A general procedure is presented for developing Runge-Kutta type methods for approximating the solutions of stochastic differential equations (SDEs). This procedure is used to obtain a new two stage method of strong order 1.5 and also a new four stage method of strong order 2 which can be viewed as an adaptation of the classic Runge-Kutta order 4 method to SDEs. These methods are then compared to a known method due to Platen [cf. \textit{K. Burrage} and \textit{E. Platen}, Ann. Numer. Math. 1, No. 1-4, 63-78 (1994; Zbl 0824.65148)] by examining the accuracy of numerical results for two SDEs whose solutions are known. The two new methods are found to be more accurate than Platen's method for these two examples, with the order 2 method being the most accurate and substantially better than Platen's method.
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    explicit Runge-Kutta methods
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    stochastic differential equations
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    two stage method
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    four stage method
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