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Coefficients of Runge‐Kutta Schemes for Itô Stochastic Differential Equations
Author(s) -
Rössler Andreas
Publication year - 2003
Publication title -
pamm
Language(s) - English
Resource type - Journals
ISSN - 1617-7061
DOI - 10.1002/pamm.200310553
Subject(s) - runge–kutta methods , stochastic differential equation , convergence (economics) , mathematics , runge–kutta method , differential equation , process (computing) , order of accuracy , order (exchange) , differential (mechanical device) , computer science , mathematical analysis , ordinary differential equation , differential algebraic equation , method of characteristics , physics , economics , economic growth , operating system , finance , thermodynamics
Abstract In order to approximate the solution of an Itô stochastic differential equation, embedded explicit stochastic Runge‐Kutta methods may be applied. Coefficients for such schemes are presented in this paper. Since embedded methods provide different orders of convergence, they may be applied for estimating the local error of the approximation process.