期刊
BIT NUMERICAL MATHEMATICS
卷 52, 期 2, 页码 437-455出版社
SPRINGER
DOI: 10.1007/s10543-011-0354-0
关键词
Stochastic differential-algebraic equation; Stochastic Runge-Kutta method; Stiffly accurate; Mean-square convergence; Mean-square stability
The paper deals with the numerical treatment of stochastic differential-algebraic equations of index one with a scalar driving Wiener process. Therefore, a particularly customized stochastic Runge-Kutta method is introduced. Order conditions for convergence with order 1.0 in the mean-square sense are calculated and coefficients for some schemes are presented. The proposed schemes are stiffly accurate and applicable to nonlinear stochastic differential-algebraic equations. As an advantage they do not require the calculation of any pseudo-inverses or projectors. Further, the mean-square stability of the proposed schemes is analyzed and simulation results are presented bringing out their good performance.
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