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Mathematics of Computation

Published by the American Mathematical Society, the Mathematics of Computation (MCOM) is devoted to research articles of the highest quality in all areas of pure and applied mathematics.

ISSN 1088-6842 (online) ISSN 0025-5718 (print)

The 2020 MCQ for Mathematics of Computation is 1.98.

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Numerical solution of stochastic differential equations with constant diffusion coefficients
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by Chien Cheng Chang PDF
Math. Comp. 49 (1987), 523-542 Request permission

Abstract:

We present Runge-Kutta methods of high accuracy for stochastic differential equations with constant diffusion coefficients. We analyze ${L_2}$ convergence of these methods and present convergence proofs. For scalar equations a second-order method is derived, and for systems a method of order one-and-one-half is derived. We further consider a variance reduction technique based on Hermite expansions for evaluating expectations of functions of sample solutions. Numerical examples in two dimensions are presented.
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Additional Information
  • © Copyright 1987 American Mathematical Society
  • Journal: Math. Comp. 49 (1987), 523-542
  • MSC: Primary 65U05
  • DOI: https://doi.org/10.1090/S0025-5718-1987-0906186-6
  • MathSciNet review: 906186