Highly Influential

4 Excerpts

- Published 2010

We present Runge-Kutta methods of high accuracy for stochastic differential equations with constant diffusion coefficients. We analyze L2 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.

@inproceedings{Chang2010NumericalSO,
title={Numerical Solution of Stochastic Differential Equations with Constant Diffusion Coefficients},
author={Chien-Cheng Chang},
year={2010}
}