Numerical solution of stochastic differential equations by second order Runge-Kutta methods

Authors:
M. Khodabin;K. Maleknejad;M. Rostami;M. Nouri
Affiliations:
-;-;-;-
Venue:
Mathematical and Computer Modelling: An International Journal
Year:
2011

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Abstract

In this paper we propose the numerical solutions of stochastic initial value problems via random Runge-Kutta methods of the second order and mean square convergence of these methods is proved. A random mean value theorem is required and established. The concept of mean square modulus of continuity is also introduced. Expectation and variance of the approximating process are computed. Numerical examples show that the approximate solutions have a good degree of accuracy.