Y. Komori and K. Burrage (2018), Modified S-ROCK methods for weak second order approximations to the solution of Ito stochastic differential equations, Technical Report CSSE-45, Faculty of Computer Science & Systems Engineering, Kyushu Institute of Technology.

Abstract
We propose explicit stochastic Runge--Kutta methods for stiff Ito stochastic differential equations. The family of the methods is constructed to modify another family of existing explicit stabilized methods of weak order 2 in terms of computational accuracy for relatively large time-step size. We carry out numerical experiments to check the computational performance of the methods, including a high-dimensional problem that a multidimensional stochastic partial differential equation yields with finite differences.

The material in this report has been superseded by Y. Komori and K. Burrage (2023).

The pdf file is obtainable from here.

Up

Last updated: 2023/10/31