Y. Komori (2006), Weak Order Implicit Stochastic Runge-Kutta Methods for Stochastic Differential Equations with a Scalar Wiener Process, Technical Report CSSE-26, Faculty of Computer Science & Systems Engineering, Kyushu Institute of Technology.

Abstract
New implicit stochastic Runge-Kutta schemes of weak order 1 or 2 are proposed for stochastic differential equations with a scalar Wiener process, which are derivative-free, which attain order 2 or 4 for ordinary differential equations, and which are A-stable in mean square for a linear test equation in some general settings. They are sought in a transparent way and their convergence order and stability properties are confirmed in numerical experiments.

The material in this report has been superseded by Y. Komori (2008).

The pdf file is obtainable from here.

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Last updated: 2008/05/11