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

DOI10.17654/DE021010123zbMATH Open1506.60066OpenAlexW2968519615MaRDI QIDQ5035343FDOQ5035343

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)

Cites Work

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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
• Title not available (Why is that?)
• Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations

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