Second order weak Runge-Kutta type methods for Itô equations
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Publication:5944018
DOI10.1016/S0378-4754(00)00284-6zbMath0990.65006MaRDI QIDQ5944018
Vigirdas Mackevičius, Jurgis Navikas
Publication date: 25 March 2002
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0378-4754(00)00284-6
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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