Order conditions of stochastic Runge-Kutta methods by B-series
In this paper, general order conditions and a global convergence proof are given for stochastic Runge Kutta methods applied to stochastic ordinary differential equations ( SODEs) of Stratonovich type. This work generalizes the ideas of B-series as applied to deterministic ordinary differential equations (ODEs) to the stochastic case and allows a completely general formalism for constructing high order stochastic methods, either explicit or implicit. Some numerical results will be given to illustrate this theory.
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|Item Type:||Journal Article|
|Keywords:||Runge-Kutta Methods, Stochastic differential equations|
|Subjects:||Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400) > Stochastic Analysis and Modelling (010406)|
|Divisions:||Current > Schools > School of Mathematical Sciences
Current > QUT Faculties and Divisions > Science & Engineering Faculty
|Copyright Owner:||Copyright 2000 Society for Industrial and Applied Mathematics|
|Deposited On:||05 Mar 2013 00:39|
|Last Modified:||12 Apr 2013 00:32|
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