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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.pdf

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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