Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations (Q2370574)
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scientific article; zbMATH DE number 5168495
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| English | Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations |
scientific article; zbMATH DE number 5168495 |
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Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations (English)
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29 June 2007
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multi-dimensional Wiener process
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derivative-free
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multiplicative noise
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multi-colored rooted tree
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explicit stochastic Runge-Kutta scheme
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(SDEs)
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Stratonovich SDEs
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numerical experiments
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0.96350986
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0.9571285
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0.9242579
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0.91840404
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0.9167581
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0.91221625
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0.91036785
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