A class of orthogonal integrators for stochastic differential equations

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摘要

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.

论文关键词：60H10,60H35,65L06,Orthogonal integrators,Stochastic differential equations,Runge–Kutta schemes

论文评审过程：Received 24 May 2004, Revised 13 November 2004, Available online 20 January 2005.

论文官网地址：https://doi.org/10.1016/j.cam.2004.12.016