High Strong Order Implicit Runge-Kutta Methods for Stochastic Ordinary Differential Equations

摘要

The modelling of many real life phenomena for which either the parameter estimation is difficult, or which are subject to random noisy perturbation, is often carried out by using stochastic ordinary differential equations(SODEs). In this paper, a class of high strong order implicit Runge-Kutta methods for SODEs is introduced.