A class of second-order Runge-Kutta methods for numerical solution of stochastic differential equations
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/07362999808809575
Reference19 articles.
1. A computational investigation of the random particle method for numerical solution of the kinetic Vlasov-Poisson-Fokker-Planck equations
2. Numerical solution of stochastic differential equations with constant diffusion coefficients
3. Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
4. A survey of numerical methods for stochastic differential equations
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