Abstract
In this paper, we introduce a family of drift exponentially fitted stochastic Runge-Kutta (DEFSRK) methods for multi-dimensional It\^{o} stochastic differential equations (SDEs). For the presented class of DEFSRK methods, the regions of mean-square stability (MS-stability) are obtained with reasonable results. Also, general order conditions for the coefficients and the random variables of the DEFSRK methods are extracted. Then, a set of order conditions for a subclass with stochastic weak second order is obtained. Some numerical examples are presented to establish the efficiency and accuracy of the new schemes.
Citation
Sadegh Amiri. "Some drift exponentially fitted stochastic Runge-Kutta methods for solving It\^{o} SDE systems." Bull. Belg. Math. Soc. Simon Stevin 26 (3) 431 - 451, september 2019. https://doi.org/10.36045/bbms/1568685657
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