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two implicit runge-kutta methods for stochastic differential equation两个隐式龙格-库塔方法对随机微分方程
Applied Mathematics, 2012, 3, 1103-1108
/10.4236/am.2012.310162 Published Online October 2012 (http://www.SciRP.org/journal/am)
Two Implicit Runge-Kutta Methods for Stochastic
Differential Equation
*
Fuwen Lu, Zhiyong Wang
Department of Mathematics, University of Electronic Science and Technology of China, Chengdu, China
Email: zhywang@
Received August 20, 2012; revised September 10, 2012; accepted September 17, 2012
ABSTRACT
In this paper, the Itô-Taylor expansion of stochastic differential equation is briefly introduced. The colored rooted tree
theory is applied to derive strong order 1.0 implicit stochastic Runge-Kutta method (SRK). Two fully implicit schemes
are presented and their stability qualities are discussed. And the numerical report illustrates the better numerical behavior.
Keywords: Stochastic Differential Equation; Implicit Stochastic Runge-Kutta Method; Order Condition
1. Introduction nition of the order of numerical methods in their thesis.
Definition 2.1. Let y N be the numerical appro-
In this paper, we want to obtain numerical methods for
ximation to y t after N steps with constant stepsize
strong solution of Stochastic Differential Equations of Itô N
tN t0 N ; then y N is said to be converge stro
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