Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Numerical Analysis,Applied Mathematics,Computational Mathematics
Link
http://epubs.siam.org/doi/pdf/10.1137/09076636X
Reference22 articles.
1. High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
2. General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems
3. Order Conditions of Stochastic Runge--Kutta Methods by B-Series
4. B–Series Analysis of Stochastic Runge–Kutta Methods That Use an Iterative Scheme to Compute Their Internal Stage Values
5. Random Generation of Stochastic Area Integrals
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