Classification of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
Abstract
In the present paper, a class of stochastic Runge-Kutta methods containing the second order stochastic Runge-Kutta scheme due to E. Platen for the weak approximation of It\^o stochastic differential equation systems with a multi-dimensional Wiener process is considered. Order one and order two conditions for the coefficients of explicit stochastic Runge-Kutta methods are solved and the solution space of the possible coefficients is analyzed. A full classification of the coefficients for such stochastic Runge-Kutta schemes of order one and two with minimal stage numbers is calculated. Further, within the considered class of stochastic Runge-Kutta schemes coefficients for optimal schemes in the sense that additionally some higher order conditions are fulfilled are presented.
Keywords
Cite
@article{arxiv.1303.4510,
title = {Classification of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations},
author = {Kristian Debrabant and Andreas Rößler},
journal= {arXiv preprint arXiv:1303.4510},
year = {2013}
}