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Mathematics of Computation

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



Numerical solution of stochastic differential equations with constant diffusion coefficients

Author: Chien Cheng Chang
Journal: Math. Comp. 49 (1987), 523-542
MSC: Primary 65U05
MathSciNet review: 906186
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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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Article copyright: © Copyright 1987 American Mathematical Society