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Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise

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Abstract

A new class of third order Runge-Kutta methods for stochastic differential equations with additive noise is introduced. In contrast to Platen’s method, which to the knowledge of the author has been up to now the only known third order Runge-Kutta scheme for weak approximation, the new class of methods affords less random variable evaluations and is also applicable to SDEs with multidimensional noise. Order conditions up to order three are calculated and coefficients of a four stage third order method are given. This method has deterministic order four and minimized error constants, and needs in addition less function evaluations than the method of Platen. Applied to some examples, the new method is compared numerically with Platen’s method and some well known second order methods and yields very promising results.

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  1. Kristian Debrabant

    Present address: Scientific Computing Research Group, Katholieke Universiteit Leuven, Celestijnenlaan 200A, 3001, Leuven (Heverlee), Belgium

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  1. Fachbereich Mathematik, Technische Universität Darmstadt, Dolivostraße 15, 64293, Darmstadt, Germany

    Kristian Debrabant

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  1. Kristian Debrabant
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Correspondence to Kristian Debrabant.

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Communicated by Anders Szepessy.

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Debrabant, K. Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise. Bit Numer Math 50, 541–558 (2010). https://doi.org/10.1007/s10543-010-0276-2

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