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Title: Runge kutta familes for additive noise stochastic differential equations
Authors: Φαμέλης, Ιωάννης Θ.
Ξάνθος, Φοίβος
Παπαγεωργίου, Γεώργιος
Item type: Conference publication
Conference Item Type: Full Paper
Keywords: Stochastic differential equations;Numerical solution;Στοχαστικές διαφορικές εξισώσεις;Αριθμητική λύση
Subjects: Electronics
Applied mathematics
Εφαρμοσμένα μαθηματικά
Issue Date: 12-Feb-2015
Publisher: AIP Publishing
Abstract: We present families of explicit Runge-Kutta Methods for the numerical treatment of Stochastic Differential Equations with additive noise and one dimensional Wiener process. We study methods with two, three and four stages attaining deterministic order up to four and stochastic orders one and one and a half. The methods are tested in the solution of various problems and are compared with known other methods. The results modify our effort.
Description: AIP Conference Proceedings 1048
Language: English
Citation: Famelis, I., Xanthos, F. and Papageorgiou, G. (2008). Runge kutta familes for additive noise stochastic differential equations. In the International Conference Of Numerical Analysis And Applied Mathematics. Kos, 16th-20th September 2008. AIP Publishing: 2008. pp. 182-185.
Conference: International Conference Of Numerical Analysis And Applied Mathematics
Access scheme: Embargo
License: Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ηνωμένες Πολιτείες
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