Two Implicit Runge-Kutta Methods for Stochastic Differential Equation  

作　　者：Fuwen Lu Zhiyong Wang 

机构地区：[1]Department of Mathematics, University of electronic Science and Technology of China, Chengdu Sichuan, China

出　　处：《Applied Mathematics》2012年第10期1103-1108,共6页应用数学（英文）

摘　　要：In this paper, the Ito-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.In this paper, the Ito-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.

关 键 词：STOCHASTIC DIFFERENTIAL EQUATION IMPLICIT STOCHASTIC RUNGE-KUTTA Method Order Condition 

分 类 号：O1[理学—数学]