High strong order stochastic Runge-Kutta methods for Stratonovich stochastic differential equations with scalar noise
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics
Link
http://link.springer.com/content/pdf/10.1007/s11075-015-0044-0.pdf
Reference20 articles.
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3. Burrage, K., Burrage, P.M.: Order conditions of stochastic Runge-Kutta methods by B-series. SIAM J. Numer. Anal. 38(5), 1626–1646 (2000)
4. Burrage, K., Burrage, P.M., Mitsui, T.: Numerical solutions of stochastic differential equations-implementation and stability issues. J. Comput. Appl. Math. 125, 171–182 (2000)
5. Butcher, J.C.: Numerical Analysis of Ordinary Differential Equations. Wiley, London (1987)
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