An extension of the runge-kutta-fehlberg method for Itô stochastic differential equations with small noise
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Abstract (EN)
In this thesis, necessary preliminary information for numerical solutions of scalar Stochastic Differential Equations (SDE), as well as a comprehensive literature review, are given first. Strong stochastic versions of explicit Runge-Kutta (RK) methods are examined and comparative simulation studies are carried out. By adapting the Fehlberg coefficients to the Stochastic RK (SRK) type of method, SRK Fehlberg (SRKF) method is proposed for SDE with small noise.
Author
Dudu Aydın Oğur
How to Cite
Dudu Aydın Oğur (Master Thesis). An extension of the runge-kutta-fehlberg method for Itô stochastic differential equations with small noise, 2020, Giresun University.
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