Strong approximation for Itô stochastic differential equations

Document Type : Research Article

Author

• M. Namjoo

Department of Mathematics, School of Mathematical Sciences, Vali-e-Asr University of Rafsanjan, Rafsanjan, Iran.

10.22067/ijnao.v5i1.33760

Abstract

In this paper, a class of semi-implicit two-stage stochastic Runge-Kutta methods (SRKs) of strong global order one, with minimum principal error constants are given. These methods are applied to solve Itô stochastic differential equations (SDEs) with a Wiener process. The efficiency of this method with respect to explicit two-stage Itô Runge-Kutta methods (IRKs), It method, Milstien method, semi-implicit and implicit two-stage Stratonovich Runge-Kutta methods are demonstrated by presenting some numerical results.

Keywords

• Stochastic differential equations
• Strong approximation
• Runge-Kutta methods

20.1001.1.24236977.2015.5.1.1.6

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