Runge-Kutta methods for Itô stochastic differential equations with scalar noise (Q2492722)
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scientific article; zbMATH DE number 5032465
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| English | Runge-Kutta methods for Itô stochastic differential equations with scalar noise |
scientific article; zbMATH DE number 5032465 |
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Runge-Kutta methods for Itô stochastic differential equations with scalar noise (English)
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14 June 2006
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numerical examples
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stochastic Runge-Kutta methods
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Itô stochastic differential equation systems
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Wiener process
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colored rooted tree analysis
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convergence
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0.9152677059173584
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0.8884564638137817
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0.8823996186256409
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0.8773338198661804
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