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Economical Runge–Kutta methods for numerical solution of stochastic differential equations

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Abstract

For the numerical solution of stochastic differential equations an economical Runge–Kutta scheme of second order in the weak sense is proposed. Numerical stability is studied and some examples are presented to support the theoretical results.

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Authors and Affiliations

  1. Department of Mathematics, Università della Calabria, 87036, Rende (CS), Italy

    F. Costabile

  2. Department of Computer Science, Università della Calabria, 87036, Rende (CS), Italy

    A. Napoli

Authors
  1. F. Costabile
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  2. A. Napoli
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Correspondence to A. Napoli.

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AMS subject classification (2000)

60H10

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Costabile, F., Napoli, A. Economical Runge–Kutta methods for numerical solution of stochastic differential equations . Bit Numer Math 48, 499–509 (2008). https://doi.org/10.1007/s10543-008-0190-z

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  • DOI: https://doi.org/10.1007/s10543-008-0190-z

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