Communications in Mathematical Sciences
Volume 10 (2012)
Two-stage stochasticRunge-Kutta methods for stochastic differential equations with jump diffusion
Pages: 1317 – 1329
In this paper, we propose explicit two-stage Runge-Kutta schemes of strong order one for solutions of stochastic differential equations driven by jump-diffusion processes. By using rooted trees, we obtain the convergence rate. Our numerical tests verify our theoretical results. Key words. Stochastic differential equation, numerical approximation, stochastic Runge-Kutta methods, jump-diffusion.
stochastic differential equation, numerical approximation, stochastic Runge-Kutta methods, jump-diffusion
2010 Mathematics Subject Classification