Computer Engineering and Applications ›› 2012, Vol. 48 ›› Issue (15): 49-53.
Previous Articles Next Articles
ZHU Xiaolin, WANG Zijie, LI Jinggang
Online:
Published:
朱晓临,王子洁,李井刚
Abstract: According to colored rooted tree theory, this paper presents two classes of three-stage semi-implicit stochastic Runge-Kutta methods for solving Stratonovich type stochastic differential equations, and analyzes their mean square stability. The stable regions of these methods are larger than those of the extant methods. The numerical simulation results show the high accuracy of the methods in this paper.
Key words: stochastic differential equations, colored rooted tree, three-stage stochastic Runge-Kutta method, mean square stability
摘要: 根据彩色树理论,构造了两种求解Stratonovich型随机微分方程的半隐式三阶随机Runge-Kutta方法,给出了这两种方法的稳定性分析,其稳定区域比现有方法的稳定区域大;数值模拟的结果表明两个方法都具有较高的精度。
关键词: 随机微分方程, 彩色树, 三阶随机Runge-Kutta方法, 均方稳定
ZHU Xiaolin, WANG Zijie, LI Jinggang. Two classes of three-stage semi-implicit stochastic Runge-Kutta methods[J]. Computer Engineering and Applications, 2012, 48(15): 49-53.
朱晓临,王子洁,李井刚. 两种半隐式三阶随机Runge-Kutta方法[J]. 计算机工程与应用, 2012, 48(15): 49-53.
Add to citation manager EndNote|Ris|BibTeX
URL: http://cea.ceaj.org/EN/
http://cea.ceaj.org/EN/Y2012/V48/I15/49