Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations
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Publication:4597615
DOI10.1137/15M1041341zbMath1387.65064WikidataQ115525644 ScholiaQ115525644MaRDI QIDQ4597615
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Publication date: 13 December 2017
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
stiffnesssplitting methodItô stochastic differential equationexplicit methodnoncommutative noiseexponential integrator
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical methods for initial value problems involving ordinary differential equations (65L05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)
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Cites Work
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