Continuous stage stochastic Runge–Kutta methods

Abstract

Abstract In this work, a version of continuous stage stochastic Runge–Kutta (CSSRK) methods is developed for stochastic differential equations (SDEs). First, a general order theory of these methods is established by the theory of stochastic B-series and multicolored rooted tree. Then the proposed CSSRK methods are applied to three special kinds of SDEs and the corresponding order conditions are derived. In particular, for the single integrand SDEs and SDEs with additive noise, we construct some specific CSSRK methods of high order. Moreover, it is proved that with the help of different numerical quadrature formulas, CSSRK methods can generate corresponding stochastic Runge–Kutta (SRK) methods which have the same order. Thus, some efficient SRK methods are induced. Finally, some numerical experiments are presented to demonstrate those theoretical results.

Keywords

• Stochastic differential equations
• Continuous stage stochastic Runge–Kutta methods
• B-series