Weak second order conditions for stochastic Runge--Kutta methods
A Tocino, J Vigo-Aguiar - SIAM Journal on Scientific Computing, 2002 - SIAM
SIAM Journal on Scientific Computing, 2002•SIAM
A general procedure to construct weak methods for the numerical solution of stochastic
differential systems is presented. As in the deterministic case, the procedure consists of
comparing the stochastic expansion of the approximation with the corresponding Taylor
scheme. In this way the authors obtain the order conditions that a stochastic Runge--Kutta
method must satisfy to have weak order two. Explicit examples of generalizations of the
classical family of second order two-stage explicit Runge--Kutta methods are shown. Also …
differential systems is presented. As in the deterministic case, the procedure consists of
comparing the stochastic expansion of the approximation with the corresponding Taylor
scheme. In this way the authors obtain the order conditions that a stochastic Runge--Kutta
method must satisfy to have weak order two. Explicit examples of generalizations of the
classical family of second order two-stage explicit Runge--Kutta methods are shown. Also …
A general procedure to construct weak methods for the numerical solution of stochastic differential systems is presented. As in the deterministic case, the procedure consists of comparing the stochastic expansion of the approximation with the corresponding Taylor scheme. In this way the authors obtain the order conditions that a stochastic Runge--Kutta method must satisfy to have weak order two. Explicit examples of generalizations of the classical family of second order two-stage explicit Runge--Kutta methods are shown. Also numerical examples are presented.
Society for Industrial and Applied Mathematics以上显示的是最相近的搜索结果。 查看全部搜索结果