An infinite family of second order weak explicit Runge-Kutta methods

Journal of Computational Methods in Sciences and Engineering

Volumn 1, Issue 1, 2001, Pages 125-134

  Vigo Aguiar, J ^a   Tocino, A ^a  

^a UNIVERSITY OF SALAMANCA   (Spain)

Author keywords

Explicit schemes; Runge Kutta methods; Stochastic differential equations; weak approximation; Weak numerical schemes

Indexed keywords

DIFFERENTIAL EQUATIONS; NUMERICAL METHODS; ORDINARY DIFFERENTIAL EQUATIONS; STOCHASTIC SYSTEMS;

EXPLICIT RUNGE-KUTTA METHODS; EXPLICIT SCHEME; FUNDAMENTAL CONCEPTS; NUMERICAL SCHEME; NUMERICAL SOLUTION; SECOND ORDERS; STOCHASTIC DIFFERENTIAL EQUATIONS; WEAK APPROXIMATION;

RUNGE KUTTA METHODS;

EID: 0012827564     PISSN: 14727978     EISSN: None     Source Type: Journal    
DOI: 10.3233/JCM-2001-1105     Document Type: Article

References (7)

1. L. Arnold, Stochastic Differential Equations (Wiley, New York, 1974).
2. P.E. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations (Springer-Verlag, Berlin, 1992).
3. J.D. Lambert, Numerical Methods for Ordinary Differential Systems (J. Wiley & Sons, New York, 1991)
4. G.N. Milstein, A method of second order accuracy integration of stochastic differential equations, Theory Probab. Appl. 23 (1978) 396-401.
5. G.N. Milstein, Weak approximation of solutions of systems of stochastic differential equations, Theory Probab. Appl. 30 (1985) 750-766.
6. E. Platen, An introduction to numerical methods for stochastic differential equations, Acta Numerica 3 (1999) 197-246.
7. A. Tocino, Truncated Ito-Taylor expansions, Doctoral Dissertation (Spanishla nguage, available form the author).