Classification of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
arXiv:1303.4510 · doi:10.1016/j.matcom.2007.04.016
Abstract
In the present paper, a class of stochastic Runge-Kutta methods containing the second order stochastic Runge-Kutta scheme due to E. Platen for the weak approximation of Itô stochastic differential equation systems with a multi-dimensional Wiener process is considered. Order one and order two conditions for the coefficients of explicit stochastic Runge-Kutta methods are solved and the solution space of the possible coefficients is analyzed. A full classification of the coefficients for such stochastic Runge-Kutta schemes of order one and two with minimal stage numbers is calculated. Further, within the considered class of stochastic Runge-Kutta schemes coefficients for optimal schemes in the sense that additionally some higher order conditions are fulfilled are presented.
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