In this thesis, high order stochastic Runge-Kutta methods are developed for the numerical solution of (Stratonvich) stochastic differential equations and numerical results are presented. The problems associated with non-communativity of stochastic differential equation systems are addressed and stochastic Runge-Kutta methods particularly suited for such systems are derived. The thesis concludes with a discussion on various implementation issues, along with numerical results from variable stepsize implementation of a stochastic embedded pair of Runge-Kutta methods.
| Identifer | oai:union.ndltd.org:ADTP/253839 |
| Creators | Burrage, Pamela Marion |
| Source Sets | Australiasian Digital Theses Program |
| Detected Language | English |
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