Numerical solution of stochastic differential equations by second order Runge–Kutta methods

Author:

Khodabin M.,Maleknejad K.,Rostami M.,Nouri M.

Publisher

Elsevier BV

Subject

Computer Science Applications,Modeling and Simulation

Reference10 articles.

1. Population growth as a nonlinear stochastic process;Soboleva;Mathematical and Computer Modelling,2003

2. Construction of consistent discrete and continuous stochastic models for multiple assets with application to option valuation;Koskodan;Mathematical and Computer Modelling,2008

3. Numerical Solution of Stochastic Differential Equations, Applications of Mathematics;Kloeden,1999

4. Numerical Integration of Stochastic Differential Equations;Milstein,1995

5. Numerical solution of random differential equations: a mean square approach;Cortes;Mathematical and Computer Modelling,2007

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