Three-stage stochastic Runge-Kutta methods for stochastic differential equations

Authors:
Peng Wang
Affiliations:
Institute of Mathematics, Jilin University, Changchun 130012, PR China
Venue:
Journal of Computational and Applied Mathematics
Year:
2008

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Abstract

In this paper we discuss three-stage stochastic Runge-Kutta (SRK) methods with strong order 1.0 for a strong solution of Stratonovich stochastic differential equations (SDEs). Higher deterministic order is considered. Two methods, a three-stage explicit (E3) method and a three-stage semi-implicit (SI3) method, are constructed in this paper. The stability properties and numerical results show the effectiveness of these methods in the pathwise approximation of several standard test problems.