Conservative Continuous-Stage Stochastic Runge–Kutta Methods for Stochastic Differential Equations
-
Published:2023-01-11
Issue:1
Volume:7
Page:83
-
ISSN:2504-3110
-
Container-title:Fractal and Fractional
-
language:en
-
Short-container-title:Fractal Fract
Author:
Li Xiuyan,Wang Zhenyu,Ma Qiang,Ding Xiaohua
Abstract
In this paper, we develop a new class of conservative continuous-stage stochastic Runge–Kutta methods for solving stochastic differential equations with a conserved quantity. The order conditions of the continuous-stage stochastic Runge–Kutta methods are given based on the theory of stochastic B-series and multicolored rooted tree. Sufficient conditions for the continuous-stage stochastic Runge–Kutta methods preserving the conserved quantity of stochastic differential equations are derived in terms of the coefficients. Conservative continuous-stage stochastic Runge–Kutta methods of mean square convergence order 1 for general stochastic differential equations, as well as conservative continuous-stage stochastic Runge–Kutta methods of high order for single integrand stochastic differential equations, are constructed. Numerical experiments are performed to verify the conservative property and the accuracy of the proposed methods in the longtime simulation.
Funder
National Natural Science Foundation of China
Natural Science Foundation of Shandong Province
Subject
Statistics and Probability,Statistical and Nonlinear Physics,Analysis