Runge–Kutta methods for Stratonovich stochastic differential equation systems with commutative noise
作者：
Highlights：
•
摘要
A class of explicit stochastic Runge–Kutta (SRK) methods for Stratonovich stochastic differential equation systems w.r.t. m-dimensional Wiener processes satisfying a commutativity condition is developed. General conditions for the coefficients of the SRK method assuring convergence with order two in the weak sense are presented. Due to the commutativity condition, no correlated random variables have to be generated for the considered Runge–Kutta methods.
论文关键词：60H35,60C30,68U20,Stochastic differential equations,Weak approximation,Runge–Kutta methods,Numerical methods
论文评审过程：Received 20 September 2002, Revised 21 June 2003, Available online 19 December 2003.
论文官网地址：https://doi.org/10.1016/j.cam.2003.09.009
