Strong Runge-Kutta Methods With order one for Numerical Solution of Ito Stochastic Differential Equations | Zendy

Ali Reza Soheili | Zendy; Mehran Namjoo | Zendy

AI Assistant Blog Pricing

Home ZAIA Blog

Open Access

Strong Runge-Kutta Methods With order one for Numerical Solution of Ito Stochastic Differential Equations

Author(s) -

Ali Reza Soheili,

Mehran Namjoo

Publication year - 2008

Publication title -

applied mathematics research express

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.763

H-Index - 20

eISSN - 1687-1200

pISSN - 1687-1197

DOI - 10.1093/amrx/abm003

Subject(s) - runge–kutta methods , stochastic differential equation , mathematics , class (philosophy) , runge–kutta method , noise (video) , differential equation , order (exchange) , mathematical analysis , computer science , ordinary differential equation , differential algebraic equation , artificial intelligence , image (mathematics) , finance , economics

In this paper, order conditions for coefficients of a class of stochastic Runge–Kutta (SRK) methods with strong global order 1, which applied for solving Ito stochastic differential equations (SDEs) with a single noise process, are presented. In particular, explicit twostage and three-stage SRK methods of this class with minimum principal error constants are constructed. Numerical results with two test problems of our methods, the Ito method and Milstein method will be compared.

The content you want is available to Zendy users.

Already have an account? Click here to sign in.

Having issues? You can contact us here

Accelerating Research