Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise
Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise
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DOI：
10.1016/j.cam.2003.09.009
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发表时间：
2004-03
影响因子：
2.4
通讯作者：
A. Rössler
中科院分区：
文献类型：
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作者：
A. Rössler
研究了满足交换性条件的m维Wiener过程的随机Runge-Kutta （SRK）方法。给出了SRK方法的系数在弱意义下保证二阶收敛的一般条件。由于交换性条件，对于所考虑的龙格-库塔方法，不需要生成相关的随机变量。
A class of explicit stochastic Runge–Kutta (SRK) methods for Stratonovich stochastic differential equation systems w.r.t. m-dimensional Wiener processes satisfying a commutativity condition is developed. General conditions for the coefficients of the SRK method assuring convergence with order two in the weak sense are presented. Due to the commutativity condition, no correlated random variables have to be generated for the considered Runge–Kutta methods.