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Embedded Stochastic Runge‐Kutta Methods
Author(s) -
Rößler Andreas
Publication year - 2003
Publication title -
pamm
Language(s) - English
Resource type - Journals
ISSN - 1617-7061
DOI - 10.1002/pamm.200310213
Subject(s) - runge–kutta methods , stochastic differential equation , convergence (economics) , mathematics , stochastic approximation , runge–kutta method , yield (engineering) , differential equation , computer science , mathematical optimization , mathematical analysis , ordinary differential equation , key (lock) , differential algebraic equation , physics , computer security , economics , thermodynamics , economic growth
We present some new embedded explicit stochastic Runge‐Kutta methods for the approximation of Stratonovich stochastic differential equations in the weak sense with different orders of convergence. The presented methods yield an estimate of the local error which can be used for a step size control algorithm.