Solution of Stochastic Ordinary Differential Equations Using Explicit Stochastic Rational Runge-Kutta Schemes

摘要

First order one-stage explicit Stochastic Rational Runge-Kutta methods were derived for the solution of stochastic ordinary differential equations. The derivation is based on the use of Taylor series expansion for both the deterministic and stochastic parts of the stochastic differential equation. The stability and convergence of the methods, found to be absolute stable. These methods were further tested on some numerical problems. From the results obtained, it is obvious that the derived methods; performed better than the ones with which we have analysed and they were compared with our results.