HIGHER-ORDER RUNGE-KUTTA METHOD FOR ITÔ STOCHASTIC DIFFERENTIAL EQUATIONS WITH A NON-DEGENERATE DIFFUSION MATRIX (Q5035343)
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scientific article; zbMATH DE number 7477739
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| English | HIGHER-ORDER RUNGE-KUTTA METHOD FOR ITÔ STOCHASTIC DIFFERENTIAL EQUATIONS WITH A NON-DEGENERATE DIFFUSION MATRIX |
scientific article; zbMATH DE number 7477739 |
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HIGHER-ORDER RUNGE-KUTTA METHOD FOR ITÔ STOCHASTIC DIFFERENTIAL EQUATIONS WITH A NON-DEGENERATE DIFFUSION MATRIX (English)
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21 February 2022
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stochastic differential equations
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pathwise approximation
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Runge-Kutta method
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Itô-Taylor expansion
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