scholarly journals A new adaptive Runge–Kutta method for stochastic differential equations

2007 ◽  
Vol 206 (2) ◽  
pp. 631-644 ◽  
Author(s):  
A. Foroush Bastani ◽  
S. Mohammad Hosseini
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Kutta Method ◽  
Runge Kutta Method ◽  
Runge Kutta

scholarly journals Explicit order 3/2 Runge-Kutta method for numerical solutions of stochastic differential equations by using Itô-Taylor expansion

2019 ◽  
Vol 17 (1) ◽  
pp. 1515-1525
Author(s):  
Yazid Alhojilan
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Taylor Expansion ◽  
Transport Theory ◽  
Numerical Solutions ◽  
Optimal Transport ◽  
Stochastic Integrals ◽  
Kutta Method ◽  
Runge Kutta Method ◽  
Runge Kutta

Abstract This paper aims to present a new pathwise approximation method, which gives approximate solutions of order $\begin{array}{} \displaystyle \frac{3}{2} \end{array}$ for stochastic differential equations (SDEs) driven by multidimensional Brownian motions. The new method, which assumes the diffusion matrix non-degeneracy, employs the Runge-Kutta method and uses the Itô-Taylor expansion, but the generating of the approximation of the expansion is carried out as a whole rather than individual terms. The new idea we applied in this paper is to replace the iterated stochastic integrals Iα by random variables, so implementing this scheme does not require the computation of the iterated stochastic integrals Iα. Then, using a coupling which can be found by a technique from optimal transport theory would give a good approximation in a mean square. The results of implementing this new scheme by MATLAB confirms the validity of the method.

Sign in / Sign up

Export Citation Format

Share Document