Second Order Runge–Kutta Methods for Itô 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/10.1137/060673308
Reference20 articles.
1. High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
2. Order Conditions of Stochastic Runge--Kutta Methods by B-Series
3. Classification of stochastic Runge–Kutta methods for the weak approximation of stochastic differential equations
4. Families of efficient second order Runge–Kutta methods for the weak approximation of Itô stochastic differential equations
5. Extrapolation Methods for the Weak Approximation of Ito Diffusions
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