Numerical solution of stochastic differential equations with additive noise by runge-kutta methods

Famelis, IT; Xanthos, F; Papageorgiou, G

dc.contributor.author	Famelis, IT	en
dc.contributor.author	Xanthos, F	en
dc.contributor.author	Papageorgiou, G	en
dc.date.accessioned	2014-03-01T01:58:47Z
dc.date.available	2014-03-01T01:58:47Z
dc.date.issued	2009	en
dc.identifier.issn	17908140	en
dc.identifier.uri	https://dspace.lib.ntua.gr/xmlui/handle/123456789/28724
dc.relation.uri	http://www.scopus.com/inward/record.url?eid=2-s2.0-77955487301&partnerID=40&md5=a9985d21290538ba1d61dc69f2bf63df	en
dc.subject	Additive noise	en
dc.subject	Numerical solution	en
dc.subject	Runge-kutta methods	en
dc.subject	Stochastic differential equations	en
dc.title	Numerical solution of stochastic differential equations with additive noise by runge-kutta methods	en
heal.type	journalArticle	en
heal.publicationDate	2009	en
heal.abstract	In this paper we study the numerical treatment of Stochastic Differential Equations with additive noise and one dimensional Wiener process. We develop two, three and four stage Runge-Kutta methods which attain deterministic order up to four and stochastic order up to one and a half specially constructed for this class of problems. Numerical tests and comparisons with other known methods in the solution of various problems justify our effort, especially for our three stages methods. © 2009 European Society of Computational Methods in Sciences and Engineering.	en
heal.journalName	Journal of Numerical Analysis, Industrial and Applied Mathematics	en
dc.identifier.volume	4	en
dc.identifier.issue	3-4	en
dc.identifier.spage	171	en
dc.identifier.epage	180	en