Second order Runge-Kutta methods for Stratonovich stochastic differential equations

DOI10.1007/s10543-007-0130-3zbMath1127.65007OpenAlexW2100684252MaRDI QIDQ2458222

Andreas Rößler

Publication date: 31 October 2007

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10543-007-0130-3

zbMATH Keywords

comparison of methodsnumerical resultsWiener processstochastic Runge-Kutta methodsEuler-Maruyama methodssystem of \(d\)-dimensional Stratonovich stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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