Evelyn Buckwar, Yoshio Komori,
"Stochastic Runge?Kutta Methods with Deterministic High Order for Ordinary Differential Equations"
: NUMERICAL ANALYSIS AND APPLIED MATHEMATICS ICNAAM 2011, Serie AIP Conference Proceedings, Vol. 1389, American Institute of Physics, Seite(n) 1590-1593, 2011, ISBN: 978-0-7354-0956-9
Stochastic Runge?Kutta Methods with Deterministic High Order for Ordinary Differential Equations
Sprache des Titels:
NUMERICAL ANALYSIS AND APPLIED MATHEMATICS ICNAAM 2011
Our aim is to show that the embedding of deterministic Runge?Kutta methods with higher order than necessary order to achieve a weak order can enrich the properties of stochastic Runge?Kutta methods with respect to not only practical errors but also stability. This will be done through the comparisons between our new schemes and an efficient weak second order scheme with minimized error constant proposed by Debrabant and Rößler (2009).