Runge-Kutta methods for stochastic differential equations

Burrage, Pamela Marion (1999). Runge-Kutta methods for stochastic differential equations PhD Thesis, Mathematics, University of Queensland.

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UQ157833_Burrage_RHD_thesis.pdf Thesis full text application/pdf 2.22MB 1001
Author Burrage, Pamela Marion
Thesis Title Runge-Kutta methods for stochastic differential equations
School, Centre or Institute Mathematics
Institution University of Queensland
Publication date 1999
Thesis type PhD Thesis
Open Access Status Other
Supervisor Associate Professor John Belward
Subjects 230100 Mathematics
Abstract/Summary In this thesis, high order stochastic Runge-Kutta methods are developed for the numerical solution of (Stratonvich) stochastic differential equations and numerical results are presented. The problems associated with non-communativity of stochastic differential equation systems are addressed and stochastic Runge-Kutta methods particularly suited for such systems are derived. The thesis concludes with a discussion on various implementation issues, along with numerical results from variable stepsize implementation of a stochastic embedded pair of Runge-Kutta methods.
Keyword stochastic differential equations
Runge-Kutta methods
variable stepsize
numerical solutions

Document type: Thesis
Collections: UQ Theses (RHD) - Official
UQ Theses (RHD) - Open Access
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Created: Fri, 21 Nov 2008, 21:02:45 EST