Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process
Two implicit stochastic Runge-Kutta schemes, one of weak order 1 and the other of weak order 2, are developed for approximating the solution of a Stratonovich stochastic differential equation. Conditions are specified under which the schemes are mean square \(A\)-stable. Favorable numerical results for two examples are summarized.
Stratonovich stochastic differential equation
polynomially bounded differential functions
scientific article; zbMATH DE number 5290882
scientific article