Strong Runge-Kutta methods with optimal principal error for noncommutative stochastic differential e

来源 :2013第十三届微分方程数值方法学术会议暨第十届仿真算法学术会议 | 被引量 : 0次 | 上传用户:sjn19900523
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  In this paper,we construct a general class of Stochastic Runge-Kutta(SRK) methods for solving noncommutative stochastic differential equations of It type.The colored rooted tree analysis is applied to drive conditions for coefficients of SRK methods with strong order 1 and minimum principal local truncation error.We present two three-stage explicit SRK (SRKI2v1 and SRKI3v1) methods which have better numerical behaviour than extant methods.Numerical results illustrate the theoretical findings.
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