| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 9509427 | Journal of Computational and Applied Mathematics | 2005 | 12 Pages |
Abstract
The purpose of this paper is to construct a class of orthogonal integrators for stochastic differential equations (SDEs). The family of SDEs with orthogonal solutions is univocally characterized. For this, a class of orthogonal integrators is introduced by imposing constraints to Runge-Kutta (RK) matrices and weights of the standard stochastic RK schemes.The performance of the method is illustrated by means of numerical simulations.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
F. Carbonell, J.C. Jimenez, R.J. Biscay,