Y. Komori (2005), Weak Second Order Stochastic Runge-Kutta Methods for Non-commuting Stochastic Differential Equations, Technical Report CSSE-24, Faculty of Computer Science & Systems Engineering, Kyushu Institute of Technology.

Abstract
A new explicit stochastic Runge-Kutta scheme of weak order 2 is proposed for non-commuting stochastic differential equations (SDEs), which is derivative-free and which attains order 4 for ordinary differential equations. The scheme is directly applicable to Stratonovich SDEs and uses 2m-1 random variables in the m-dimensional Wiener process case. It is compared with other derivative-free and weak second order schemes in numerical experiments.

Note
The material in this report has been superseded by Y. Komori (2007).

The pdf file is obtainable from here.

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Last updated: 2007/06/11