A-stable Runge–Kutta methods for stiff stochastic differential equations with multiplicative noise
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Computational Mathematics
Link
http://link.springer.com/content/pdf/10.1007/s40314-014-0140-0.pdf
Reference49 articles.
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3. Abdulle A, Vilmart G, Zygalakis KC (2012b) Mean-square A-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equation. BIT Numer Math 52:1–14
4. Abukhaled MI (2004) Mean square stability of a class of Runge–Kutta methods for 2-dimensional stochastic differential systems. Appl Numer Anal Comput Math 1:77–89
5. Ahmad SkS, Parida NC, Raha S (2009) The fully implicit stochastic- $$\alpha $$ α method for stiff stochastic differential equations. J Comput Phys 228, 8263–8282
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