Some derivative-free solvers for numerical solution of SODEs

DOI10.1007/s40324-015-0030-4zbMath1322.65018MaRDI QIDQ2516347

Ali R. Soheili, Fazlollah Soleymani

Publication date: 31 July 2015

Published in: S\(\vec{\text{e}}\)MA Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40324-015-0030-4

zbMATH Keywords

stochastic differential equations; numerical solution; stochastic Runge-Kutta methods; derivative-free solvers; heuristic derivation

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations