Improved Euler–Maruyama Method for Numerical Solution of the Itô Stochastic Differential Systems by Composite Previous-Current-Step Idea
Author:
Funder
Institute for Research in Fundamental Sciences
Semnan University
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics
Link
http://link.springer.com/article/10.1007/s00009-018-1187-8/fulltext.html
Reference21 articles.
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3. Casabán, M.-C., Cortés, J.-C., Romero, J.-V., Roselló, M.-D.: Solving random homogeneous linear second-order differential equations: a full probabilistic description. Mediterr. J. Math. 13(6), 3817–3836 (2016)
4. Cortés, J.-C., Villafuerte, L., Burgos, C.: A mean square chain rule and its application in solving the random Chebyshev differential equation. Mediterr. J. Math. 14, 35 (2017)
5. Costabile, F., Napoli, A.: Economical Runge–Kutta method for numerical solution of stochastic differential equations. BIT 48(3), 499–509 (2008)
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