Two Implicit Runge-Kutta Methods for Stochastic Differential Equation

• 作者: Fuwen Lu Zhiyong Wang
• 来源期刊: 应用数学(英文)
• 学科: 数学
• 关键词: STOCHASTIC DIFFERENTIAL Equation IMPLICIT STOCHASTIC RUNGE-KUTTA Method Order CONDITION
• 年，卷（期）: yysxyw_2012,（10）
• 页码范围: 1103-1108
• 页数: 6页
• 分类号: O1

摘要

In this paper, the Ito-Taylor expansion of stochastic differential equation is briefly introduced. The colored rooted tree theory is applied to derive strong order 1.0 implicit stochastic Runge-Kutta method(SRK). Two fully implicit schemes are presented and their stability qualities are discussed. And the numerical report illustrates the better numerical behavior.