Classification of stochastic Runge–Kutta methods for the weak approximation of stochastic differential equations

Kristian Debrabant and Andreas Rößler

Mathematics and Computers in Simulation (MATCOM), 2008, vol. 77, issue 4, 408-420

Abstract: In the present paper, a class of stochastic Runge–Kutta methods containing the second order stochastic Runge–Kutta scheme due to E. Platen for the weak approximation of Itô stochastic differential equation systems with a multi-dimensional Wiener process is considered. Order 1 and order 2 conditions for the coefficients of explicit stochastic Runge–Kutta methods are solved and the solution space of the possible coefficients is analyzed. A full classification of the coefficients for such stochastic Runge–Kutta schemes of order 1 and two with minimal stage numbers is calculated. Further, within the considered class of stochastic Runge–Kutta schemes coefficients for optimal schemes in the sense that additionally some higher order conditions are fulfilled are presented.

Keywords: Stochastic Runge–Kutta method; Stochastic differential equation; Classification; Weak approximation; Optimal scheme (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:77:y:2008:i:4:p:408-420

DOI: 10.1016/j.matcom.2007.04.016

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