Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations (Q512857): Difference between revisions

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-.1007/s10543-016-0618-9
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+Ai-Guo Xiao
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+Mean-square \(A\)-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations
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@@ Property / cites work @@
+Weak Second Order Explicit Stabilized Methods for Stiff Stochastic Differential Equations
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+High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
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+Order Conditions of Stochastic Runge--Kutta Methods by <i>B</i>-Series
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+Stochastic Runge–Kutta Methods for Itô SODEs with Small Noise
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+B–Series Analysis of Stochastic Runge–Kutta Methods That Use an Iterative Scheme to Compute Their Internal Stage Values
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+Classification of stochastic Runge-Kutta methods for the weak approximation of stochastic differential equations
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@@ Property / cites work @@
+Families of efficient second order Runge-Kutta methods for the weak approximation of Itô stochastic differential equations
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+Q4004325
@@ Property / cites work: Q4004325 / rank @@
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+Extrapolation Methods for the Weak Approximation of Ito Diffusions
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+Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations
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+Supplement: Efficient weak second order stochastic Runge-Kutta methods for non-commutative Stratonovich stochastic differential equations
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+Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations
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+Q4319807
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+Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
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+Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
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+Second order Runge-Kutta methods for Stratonovich stochastic differential equations
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+Second Order Runge–Kutta Methods for Itô Stochastic Differential Equations
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+Strong and Weak Approximation Methods for Stochastic Differential Equations—Some Recent Developments
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+Weak Second Order Conditions for Stochastic Runge--Kutta Methods
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@@ Property / DOI @@
+.1007/S10543-016-0618-9
@@ Property / DOI: 10.1007/S10543-016-0618-9 / rank @@
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