Numerical solution of stochastic differential equations with additive noise by runge-kutta methods

dc.contributor.author	Φαμέλης, Ιωάννης Θ.	el
dc.contributor.author	Ξάνθος, Φοίβος	el
dc.contributor.author	Παπαγεωργίου, Γεώργιος	el
dc.date.accessioned	2015-02-14T10:51:46Z
dc.date.available	2015-02-14T10:51:46Z
dc.date.issued	2015-02-14
dc.identifier.uri	http://hdl.handle.net/11400/6215
dc.rights	Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ηνωμένες Πολιτείες	*
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/us/	*
dc.source	http://www.jnaiam.org/	en
dc.subject	Stochastic differential equations
dc.subject	Additive noise
dc.subject	Στοχαστικές διαφορικές εξισώσεις
dc.subject	Πρόσθετος θόρυβος
dc.title	Numerical solution of stochastic differential equations with additive noise by runge-kutta methods	en
heal.type	journalArticle
heal.classification	Mathematics
heal.classification	Applied mathematics
heal.classification	Μαθηματικά
heal.classification	Εφαρμοσμένα μαθηματικά
heal.classificationURI	http://id.loc.gov/authorities/subjects/sh85082139
heal.classificationURI	http://id.loc.gov/authorities/subjects/sh93002523
heal.classificationURI	N/A-Μαθηματικά
heal.classificationURI	N/A-Εφαρμοσμένα μαθηματικά
heal.keywordURI	http://id.loc.gov/authorities/subjects/sh85128177
heal.identifier.secondary	ISSN 1790–8140
heal.language	en
heal.access	campus
heal.recordProvider	Τ.Ε.Ι. Αθήνας. Σχολή Τεχνολογικών Εφαρμογών. Τμήμα Ηλεκτρονικών Μηχανικών Τ.Ε.	el
heal.publicationDate	2009
heal.bibliographicCitation	Famelis, I., Xanthos, F. and Papageorgiou, G. (2009). Numerical solution of stochastic differential equations with additive noise by runge-kutta methods. Journal of Numerical Analysis, Industrial and Applied Mathematics. 4(3-4). pp 181-190. European Society of Computational Methods in Sciences and Engineering: 2009. Available from: http://www.jnaiam.org/ [Accessed 02/11/2010]	en
heal.abstract	In this paper we study the numerical treatment of Stochastic Differential Equations with additive noise and one dimensional Wiener process. We develop two, three and four stage Runge–Kutta methods which attain deterministic order up to four and stochastic order up to one and a half specially constructed for this class of problems. Numerical tests and comparisons with other known methods in the solution of various problems justify our effort, especially for our three stages methods.	en
heal.publisher	European Society of Computational Methods in Sciences and Engineering	en
heal.journalName	Journal of Numerical Analysis, Industrial and Applied Mathematics	en
heal.journalType	peer-reviewed
heal.fullTextAvailability	true