کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4641438 1341309 2008 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Three-stage stochastic Runge–Kutta methods for stochastic differential equations
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Three-stage stochastic Runge–Kutta methods for stochastic differential equations
چکیده انگلیسی

In this paper we discuss three-stage stochastic Runge–Kutta (SRK) methods with strong order 1.0 for a strong solution of Stratonovich stochastic differential equations (SDEs). Higher deterministic order is considered. Two methods, a three-stage explicit (E3) method and a three-stage semi-implicit (SI3) method, are constructed in this paper. The stability properties and numerical results show the effectiveness of these methods in the pathwise approximation of several standard test problems.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 222, Issue 2, 15 December 2008, Pages 324–332
نویسندگان
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