High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations

Burrage, K. and Burrage, P. M. (1996) High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations. Applied Numerical Mathematics, 22 1-3: 81-101. doi:10.1016/S0168-9274(96)00027-X


Author Burrage, K.
Burrage, P. M.
Title High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
Journal name Applied Numerical Mathematics   Check publisher's open access policy
ISSN 0168-9274
Publication date 1996-11
Sub-type Article (original research)
DOI 10.1016/S0168-9274(96)00027-X
Volume 22
Issue 1-3
Start page 81
End page 101
Total pages 21
Place of publication Amsterdam, The Netherlands
Publisher Elsevier
Language eng
Subject 010302 Numerical Solution of Differential and Integral Equations
Abstract The pioneering work of Runge and Kutta a hundred years ago has ultimately led to suites of sophisticated numerical methods suitable for solving complex systems of deterministic ordinary differential equations. However, in many modelling situations, the appropriate representation is a stochastic differential equation and here numerical methods are much less sophisticated. In this paper a very general class of stochastic Runge-Kutta methods is presented and much more efficient classes of explicit methods than previous extant methods are constructed. In particular, a method of strong order 2 with a deterministic component based on the classical Runge-Kutta method is constructed and some numerical results are presented to demonstrate the efficacy of this approach.
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Unknown

Document type: Journal Article
Sub-type: Article (original research)
Collection: Institute for Molecular Bioscience - Publications
 
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Created: Mon, 19 Jul 2010, 13:50:13 EST by Laura McTaggart on behalf of Institute for Molecular Bioscience