Weak order stochastic Runge-Kutta methods for commutative stochastic differential equations (Q875154)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Weak order stochastic Runge-Kutta methods for commutative stochastic differential equations |
scientific article |
Statements
Weak order stochastic Runge-Kutta methods for commutative stochastic differential equations (English)
0 references
11 April 2007
0 references
multi-dimensional Wiener process
0 references
commutativity condition
0 references
comparison of methods
0 references
derivative-free
0 references
multiplicative noise
0 references
explicit stochastic Runge-Kutta scheme
0 references
numerical experiments
0 references
