• Title of article

    A class of orthogonal integrators for stochastic differential equations

  • Author/Authors

    Carbonell، نويسنده , , F. and Jimenez، نويسنده , , J.C. and Biscay، نويسنده , , R.J.، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2005
  • Pages
    12
  • From page
    350
  • To page
    361
  • Abstract
    The purpose of this paper is to construct a class of orthogonal integrators for stochastic differential equations (SDEs). The family of SDEs with orthogonal solutions is univocally characterized. For this, a class of orthogonal integrators is introduced by imposing constraints to Runge–Kutta (RK) matrices and weights of the standard stochastic RK schemes.The performance of the method is illustrated by means of numerical simulations.
  • Keywords
    Orthogonal integrators , Runge–Kutta schemes , stochastic differential equations
  • Journal title
    Journal of Computational and Applied Mathematics
  • Serial Year
    2005
  • Journal title
    Journal of Computational and Applied Mathematics
  • Record number

    1553040

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=1553040