High Strong Order Explicit Runge-kutta Methods for Stochastic Ordinary Diierential Equations
نویسنده
چکیده
The pioneering work of Runge and Kutta a hundred years ago has ultimately led to suites of sophisticated numerical methods suitable for solving complex systems of deterministic ordinary diierential equations. However, in many modelling situations, the appropriate representation is a stochastic diier-ential equation and here numerical methods are much less sophisticated. In this paper a very general class of Stochastic Runge-Kutta methods is presented and much more eecient classes of explicit methods than previous extant methods are constructed. In particular, a method of strong order 2 with a deterministic component based on the classical Runge-Kutta method is constructed and some numerical results are presented to demonstrate the eecacy of this approach.
منابع مشابه
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