Stochastic Runge-Kutta methods for Itô sodes with small noise (Q2998009)
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scientific article; zbMATH DE number 5895776
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| English | Stochastic Runge-Kutta methods for Itô sodes with small noise |
scientific article; zbMATH DE number 5895776 |
Statements
Stochastic Runge–Kutta Methods for Itô SODEs with Small Noise (English)
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17 May 2011
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stochastic Runge-Kutta methods
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Itô stochastic differential equations
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small noise
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mean-square convergence
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Maruyama method
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numerical examples
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0.8877236247062683
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0.867006242275238
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0.8521736860275269
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0.850573718547821
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