Y. Komori and K. Burrage (2012), Strong first order S-ROCK methods for
stochastic differential equations, Technical Report CSSE-39, Faculty of
Computer Science & Systems Engineering, Kyushu Institute of Technology.
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.
The material in this report has been superseded by Y. Komori and K. Burrage (2013).
The pdf file is obtainable from here.
Last updated: 2013/01/29