HIGHER-ORDER RUNGE-KUTTA METHOD FOR ITÔ STOCHASTIC DIFFERENTIAL EQUATIONS WITH A NON-DEGENERATE DIFFUSION MATRIX

DOI10.17654/DE021010123MaRDI QIDQ5035343zbMATH OpenOpenAlexFDO

Authors Yazid Alhojilan

Publication date 21 February 2022

Published in Advances in Differential Equations and Control Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.17654/de021010123

zbMATH Keywords

stochastic differential equationsRunge-Kutta methodpathwise approximationItô-Taylor expansion

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(3)

• Explicit order \( \frac{3}{2} \) Runge-Kutta method for numerical solutions of stochastic differential equations by using Itô-Taylor expansion
• Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations
• scientific article; zbMATH DE number 1380706 (Why is no real title available?)

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