Weak Second Order Conditions for Stochastic Runge--Kutta Methods

DOI10.1137/S1064827501387814MaRDI QIDQ4785933zbMATH OpenFDO

Authors A. Tocino, Jesús Vigo-Aguiar, Angel Tocino

Publication date 5 January 2003

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/S1064827501387814

zbMATH Keywords

Brownian motionEuler methodsItô-Taylor expansionnumerical experimentssimulationstochastic differential equationsstochastic Runge-Kutta methodsstochastic theta-methodsWagner-Platen expansionweak approximationweak convergenceweak numerical schemes

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stochastic approximation (62L20) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

Review text

The Wagner-Platen expansion (sometimes called Itô-Taylor expansion for stochastic differential equations (SDEs); cf \textit{E. Platen} [An introduction to numerical methods for stochastic differential equations. Acta Numer. 8 197--246 (1999; Zbl 0942.65004)] and its simplified version are used to derive fairly general order conditions for weak convergence of 2nd order Runge-Kutta methods applied to stochastic differential equations under the ``classical conditions. The concept of numerical weak convergence is understood in the sense of \textit{G. N. Milstein} [Teor. Veroyatn. Primen. 30, 706--721 (1985; Zbl 0579.60047)] along (nonrandom) equidistant partitions of fixed finite time-intervals \([t_0,T]\). Numerical experiments for the geometric Brownian motion and a reducible nonlinear SDE are conducted. During these experiments no significant difference between several Runge-Kutta methods is observed. Suprisingly well-explained, most of the so far known Runge-Kutta methods fit in the framework which the authors present (e.g. stochastic theta-methods, modified and improved Euler methods, Platen's method [loc. cit.], deterministic two stage Runge-Kutta methods, etc.). The main emphasis is to construct weakly converging methods with second order for SDEs and to state order conditions. Some new stochastic Runge-Kutta methods are found too.

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• Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise.
• Stochastic multi-symplectic Runge-Kutta methods for stochastic Hamiltonian PDEs
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• Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise
• Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies
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• Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems
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• Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations
• A step size control algorithm for the weak approximation of stochastic differential equations
• Second order Runge-Kutta methods for Stratonovich stochastic differential equations
• On Runge-Kutta-type methods for two-dimensional stochastic differential equations
• Continuous weak approximation for stochastic differential equations
• Classification of stochastic Runge-Kutta methods for the weak approximation of stochastic differential equations
• Runge-Kutta methods for Itô stochastic differential equations with scalar noise
• Integration of the stochastic underdamped harmonic oscillator by the \(\theta \)-method
• Economical Runge-Kutta methods with weak second order for stochastic differential equations
• Rooted Tree Analysis for Order Conditions 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
• A weak trapezoidal method for a class of stochastic differential equations
• 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
• Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations
• Stochastic Runge-Kutta schemes for discretization of hysteretic models
• A family of three-stage stochastic Runge-Kutta methods with order two and their stability
• Stochastic Runge-Kutta Rosenbrock type methods for SDE systems
• Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations
• A stochastic perturbation theory for non-autonomous systems
• A weak order one stochastic Runge-Kutta method
• Mean-square stability of a constructed Third-order stochastic Runge--Kutta schemes for general stochastic differential equations
• Second order weak Runge-Kutta type methods for Itô equations
• A variable step-size control algorithm for the weak approximation of stochastic differential equations
• Automated translation and accelerated solving of differential equations on multiple GPU platforms
• Weak second-order conditions of Runge-Kutta method for stochastic optimal control problems
• Stability and convergence analysis of stochastic Runge-Kutta and balanced stochastic Runge-Kutta methods for solving stochastic differential equations
• Improved Euler-Maruyama method for numerical solution of the Itô stochastic differential systems by composite previous-current-step idea
• A weak order 2 Runge-Kutta method for Itô stochastic delay differential equations
• Weak second-order splitting schemes for Lagrangian Monte Carlo particle methods for the composition PDF/FDF transport equations
• Existence and uniqueness of the solutions and convergence of semi-implicit Euler methods for stochastic pantograph equations
• Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family
• Weak order stochastic Runge-Kutta methods for commutative stochastic differential equations
• Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process
• Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems
• Weak forms of the locally transversal linearization (LTL) technique for stochastically driven nonlinear oscillators
• Economical Runge-Kutta methods for numerical solution of stochastic differential equations

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