Weak second-order stochastic Runge–Kutta methods for non-commutative stochastic differential equations

摘要

A new explicit stochastic Runge–Kutta scheme of weak order 2 is proposed for non-commutative stochastic differential equations (SDEs), which is derivative-free and which attains order 4 for ordinary differential equations. The scheme is directly applicable to Stratonovich SDEs and uses 2m-1 random variables for one step in the m-dimensional Wiener process case. It is compared with other derivative-free and weak second-order schemes in numerical experiments.