Evelyn Buckwar, Andreas Rößler, Renate Winkler,
"Stochastic Runge-Kutta methods for Itô SODEs with small noise"
, in SIAM Journal on Scientific Computing, Vol. 32, Nummer 4, Society for Industrial and Applied Mathematics, Philadelphia, Seite(n) 1789-1808, 2010, ISSN: 1064-8275
Stochastic Runge-Kutta methods for Itô SODEs with small noise
Sprache des Titels:
We consider stochastic Runge?Kutta methods for Itô stochastic ordinary differential equations, and study their mean-square convergence properties for problems with small multiplicative noise or additive noise. First we present schemes where the drift part is approximated by well-known methods for deterministic ordinary differential equations, and a Maruyama term is used to discretize the diffusion. Further, we suggest improving the discretization of the diffusion part by taking into account also mixed classical-stochastic integrals, and we present a suitable class of fully derivative-free methods. We show that the relation of the applied step-sizes to the smallness of the noise is essential to decide whether the new methods are worth the effort. Simulation results illustrate the theoretical findings.
Sprache der Kurzfassung:
SIAM Journal on Scientific Computing
Society for Industrial and Applied Mathematics, Philadelphia