Abstract
In this paper, we are interested in construction of an explicit third-order stochastic Runge–Kutta (SRK3) schemes for the weak approximation of stochastic differential equations (SDEs) with the general diffusion coefficient b(t, x). To this aim, we use the Itˆo-Taylor method and compare them with the stochastic expansion of the approximation. In this way, the authors encountered with a large number of equations and could find to derive four families for SRK3 schemes. Also we investigate the mean-square stability (MS-stability) properties of SRK3 schemes for a linear SDE. Finally, the proposed families are implemented on some examples to illustrate convergence results.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
