کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4641741 1341318 2008 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Weak first- or second-order implicit Runge–Kutta methods for stochastic differential equations with a scalar Wiener process
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Weak first- or second-order implicit Runge–Kutta methods for stochastic differential equations with a scalar Wiener process
چکیده انگلیسی

New fully implicit stochastic Runge–Kutta schemes of weak order 1 or 2 are proposed for stochastic differential equations with sufficiently smooth drift and diffusion coefficients and a scalar Wiener process, which are derivative-free and which are A-stable in mean square for a linear test equation in some general settings. They are sought in a transparent way and their convergence order and stability properties are confirmed in numerical experiments.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 217, Issue 1, 15 July 2008, Pages 166–179
نویسندگان
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