A bound on the maximum strong order of stochastic Runge-Kutta methods for stochastic ordinary differential equations-Reference-Cited by-同舟云学术

A bound on the maximum strong order of stochastic Runge-Kutta methods for stochastic ordinary differential equations

Published:1997-12 Issue:4 Volume:37 Page:771-780
ISSN:0006-3835
Container-title:BIT Numerical Mathematics
language:en
Short-container-title:Bit Numer Math

Author:

Burrage K.,Burrage P. M.,Belward J. A.

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Computational Mathematics,Computer Networks and Communications,Software

Link

http://link.springer.com/content/pdf/10.1007/BF02510351.pdf

Reference8 articles.

1. K. Burrage and P. M. Burrage,High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations, Appl. Numer. Math., 20 (1996), pp. 1–21.

2. P. M. Burrage,Numerical methods for stochastic differential equations, Ph.D. thesis, Department of Mathematics, University of Queensland, Australia, 1998.

3. J. C. Butcher,The Numerical Analysis of Ordinary Differential Equations, Wiley, U.K., 1987.

4. T. C. Gard,Introduction to Stochastic Differential Equations, Marcel Dekker, New York, 1988.

5. P. E. Kloeden and E. Platen,Relations between multiple Itô and Stratonovich integrals, Stochastic Anal. Appl., 9(3) (1991), pp. 311–321.

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