Weak order drift-implicit Runge-Kutta methods for stochastic differential equations (Q3623655)
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scientific article; zbMATH DE number 5545251
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| English | Weak order drift-implicit Runge-Kutta methods for stochastic differential equations |
scientific article; zbMATH DE number 5545251 |
Statements
21 April 2009
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implicit Runge-Kutta schemes
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Stratonovich stochastic differential equations
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Wiener process
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stability
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convergence
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numerical experiments
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0.9283686876296996
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0.9191454648971558
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0.8588986396789551
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0.8483538627624512
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