Numerical solution of stochastic differential equations with constant diffusion coefficients
Journal Article
·
· Math. Comput.; (United States)
We present Runge-Kutta methods of high accuracy for stochastic differential equations with constant diffusion coefficients. We analyze L/sub 2/ convergence of these methods and present convergence proofs. For scalar equations a second-order method is derived, and for systems a method of order one-and-one-half is derived. We further consider a variance reduction technique based on Hermite expansions for evaluating expectations of functions of sample solutions. Numerical examples in two dimensions are presented.
- Research Organization:
- Itek Optical Systems, Litton Industries, 10 Maguire Road, Lexington, Massachusetts 02173
- OSTI ID:
- 5928137
- Journal Information:
- Math. Comput.; (United States), Journal Name: Math. Comput.; (United States) Vol. 49:180; ISSN MCMPA
- Country of Publication:
- United States
- Language:
- English
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