Y. Komori and E. Buckwar (2011), Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations, Technical Report CSSE-38, Faculty of Computer Science & Systems Engineering, Kyushu Institute of Technology.

Abstract
Our aim is to show that the embedding of deterministic Runge-Kutta methods with higher order than necessary order to achieve a weak order can enrich the properties of stochastic Runge-Kutta methods with respect to not only practical errors but also stability. This will be done through the comparisons between our new schemes and an efficient weak second order scheme with minimized error constant proposed by Debrabant and Rossler (2009).

The material in this report has been superseded by Y. Komori and E. Buckwar (2013).

The pdf file is obtainable from here.

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Last updated: 2013/09/10