The composite Milstein methods for the numerical solution of Stratonovich stochastic differential equations-Reference-Cited by-同舟云学术

The composite Milstein methods for the numerical solution of Stratonovich stochastic differential equations

Published:2009-09 Issue:2 Volume:215 Page:727-745
ISSN:0096-3003
Container-title:Applied Mathematics and Computation
language:en
Short-container-title:Applied Mathematics and Computation

Author:

Omar M.A.,Aboul-Hassan A.,Rabia S.I.

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference16 articles.

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2. High strong order explicit Runge–Kutta methods for stochastic ordinary differential equations;Burrage;Appl. Numer. Math.,1996

3. P. Burrage, Runge–Kutta methods for stochastic differential equations, Ph.D. Thesis, Dept. of Mathematics, The University of Queensland, Australia, 1998.

4. Numerical methods for strong solutions of stochastic differential equations: An overview;Burrage;Proc. Math. Phys. Eng. Sci.,2004

5. The composite Euler method for stiff stochastic differential equations;Burrage;J. Comput. Appl. Math.,2000

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