Y. Komori and K. Burrage (2013), Strong first order S-ROCK methods for
stochastic differential equations, Journal of Computational and Applied
Mathematics, 242, 261-274.
Abstract
Explicit stochastic Runge-Kutta (SRK) methods are constructed for non-commutative Ito and Stratonovich stochastic differential equations. Our aim is to derive explicit SRK schemes of strong order one, which are derivative free and which have large stability regions. In the present paper, this will be achieved by embedding Chebyshev methods for ordinary differential equations into SRK methods proposed by Rossler (2010). In order to check their convergence order, stability properties and computational efficiency, some numerical experiments will be performed.
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Last updated: 2015/11/17