Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis (Q1007381)
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scientific article; zbMATH DE number 5530701
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| English | Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis |
scientific article; zbMATH DE number 5530701 |
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Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis (English)
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20 March 2009
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asymptotic stability
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mean-square stability
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stochastic Runge-Kutta method
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implicit method
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stochastic differential equation
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weak approximation
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0.919776737689972
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0.836127519607544
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0.8336487412452698
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0.8265720009803772
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