Runge Kutta families for additive noise Stochastic Differential Equations

Famelis, ITh; Xanthos, F; Papageorgiou, G

dc.contributor.author	Famelis, ITh	en
dc.contributor.author	Xanthos, F	en
dc.contributor.author	Papageorgiou, G	en
dc.date.accessioned	2014-03-01T02:51:47Z
dc.date.available	2014-03-01T02:51:47Z
dc.date.issued	2008	en
dc.identifier.issn	0094243X	en
dc.identifier.uri	https://dspace.lib.ntua.gr/xmlui/handle/123456789/35656
dc.subject	Additive noise	en
dc.subject	Numerical solution	en
dc.subject	Runge-kutta methods	en
dc.subject	Stochastic differential equations	en
dc.title	Runge Kutta families for additive noise Stochastic Differential Equations	en
heal.type	conferenceItem	en
heal.identifier.primary	10.1063/1.2990887	en
heal.identifier.secondary	http://dx.doi.org/10.1063/1.2990887	en
heal.publicationDate	2008	en
heal.abstract	We present families of explicit Runge-Kutta Methods for the numerical treatment of Stochastic Differential Equations with additive noise and one dimensional Wiener process. We study methods with two, three and four stages attaining deterministic order up to four and stochastic orders one and one and a half. The methods are tested in the solution of various problems and are compared with known other methods. The results modify our effort. © 2008 American Institute of Physics.	en
heal.journalName	AIP Conference Proceedings	en
dc.identifier.doi	10.1063/1.2990887	en
dc.identifier.volume	1048	en
dc.identifier.spage	182	en
dc.identifier.epage	185	en