New fully implicit stochastic Runge-Kutta schemes of weak order 1 or 2 are proposed for stochastic differential equations with sufficiently smooth drift and diffusion coefficients and a scalar Wiener process, which are derivative-free and which are A-stable in mean square for a linear test equation
Deferred correction with mono-implicit Runge–Kutta methods for first-order IVPs
✍ Scribed by M.Van Daele; T.Van Hecke; G.Vanden Berghe; H.De Meyer
- Publisher
- Elsevier Science
- Year
- 1999
- Tongue
- English
- Weight
- 194 KB
- Volume
- 111
- Category
- Article
- ISSN
- 0377-0427
No coin nor oath required. For personal study only.
✦ Synopsis
To reach a high order of accuracy for numerical solutions of IVPs with mono-implicit Runge-Kutta (MIRK) methods, the technique of deferred correction is used. Special attention is paid to the possible increase of the order and the stability of such schemes. Several schemes are given.
📜 SIMILAR VOLUMES
## Green's function Comparison theorems a b s t r a c t In this paper we deal with the numerical solutions of Runge-Kutta methods for first-order periodic boundary value differential equations with piecewise constant arguments. The numerical solution is given by the numerical Green's function. It