Stochastic Runge–Kutta Methods for Itô SODEs with Small Noise
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Computational Mathematics
Link
http://epubs.siam.org/doi/pdf/10.1137/090763275
Reference28 articles.
1. Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations
2. On Two-step Schemes for SDEs with Small Noise
3. Multistep methods for SDEs and their application to problems with small noise
4. Improved linear multi-step methods for stochastic ordinary differential equations
5. High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
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