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The material in this report has been superseded by Y. Komori (2008).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.
Last updated: 2008/05/11