Title : ( A weak order one stochastic Runge-Kutta method )
Authors: M. B. Niasar , Ali Reza Soheili ,
Full TextAbstract
In this paper, we derive new two stage explicit SRK methods with weak order 1 for SDEs with one. With two test problems,the absolute error and the CPU time of our method present and compare with the Euler method.
Keywords
, Stochastic differential equations, weak approximation, Stochastic Runge–Kutta methods
@article{paperid:1016065,
author = {M. B. Niasar and Soheili, Ali Reza},
title = {A weak order one stochastic Runge-Kutta method},
journal = {Applied Mathematics Sciences},
year = {2007},
volume = {1},
number = {33},
month = {January},
issn = {1312-885x},
pages = {1613--1622},
numpages = {9},
keywords = {Stochastic differential equations; weak approximation; Stochastic Runge–Kutta methods},
}
%0 Journal Article
%T A weak order one stochastic Runge-Kutta method
%A M. B. Niasar
%A Soheili, Ali Reza
%J Applied Mathematics Sciences
%@ 1312-885x
%D 2007
