Weak order stochastic Runge-Kutta methods for commutative stochastic differential equations (Q875154): Difference between revisions

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Revision as of 01:27, 5 March 2024

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Weak order stochastic Runge-Kutta methods for commutative stochastic differential equations
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    Weak order stochastic Runge-Kutta methods for commutative stochastic differential equations (English)
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    11 April 2007
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    multi-dimensional Wiener process
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    commutativity condition
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    comparison of methods
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    derivative-free
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    multiplicative noise
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    explicit stochastic Runge-Kutta scheme
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    numerical experiments
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