Diagonally drift-implicit Runge–Kutta methods of strong order one for stiff stochastic differential systems
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Computational Mathematics
Reference23 articles.
1. Numerical Solution of Stochastic Differential Equations;Kloeden,1999
2. Stochastic Numerics for Mathematical Physics;Milstein,2004
3. General order conditions for stochastic Runge–Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems;Burrage;Appl. Numer. Math.,1998
4. Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations;Komori;J. Comput. Appl.,2007
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