Economical Runge-Kutta methods with weak second order for stochastic differential equations

zbMATH Open1206.60065MaRDI QIDQ3073797FDOQ3073797

Anna Napoli

Publication date: 11 February 2011

Full work available at URL: http://www.m-hikari.com/ijcms-2010/21-24-2010/index.html

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zbMATH Keywords

stochastic differential equationsweak approximationstochastic Runge-Kutta methodseconomical methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cited In (5)

• A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems
• Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations
• A weak order one stochastic Runge-Kutta method
• Economical Runge-Kutta methods for numerical solution of stochastic differential equations
• Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations

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