Two-Stage Explicit Stochastic Rational Runge-Kutta Method for Solving Stochastic Ordinary Differential Equations
M. R. Odekunle, M. O. Egwurube, K. A. Joshua, A. O. Adesanya
Journal of Advances in Mathematics and Computer Science · pp. 1–11 · Published 7 Oct 2015
10.9734/BJMCS/2016/18893Abstract
This paper discussed the derivation of two-stage explicit Stochastic Rational Runge-Kutta (SRRK) methods for the solution of stochastic first order ordinary differential equations. The derivation is based on the use of Taylor series expansion for the deterministic and stochastic parts of the stochastic differential equation. Efforts were made to analyse the stability of the methods and also applied the methods to test some numerical problems to solve Stochastic Differential Equations (SDE). From the results obtained it is obvious that the methods derived performed better than the ones with which we compared our results.
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