Stochastic Runge-Kutta Rosenbrock type methods for SDE systems
DOI10.1016/j.apnum.2016.11.010zbMath1358.65006OpenAlexW2560259590MaRDI QIDQ512288
Sadegh Amiri, Mohammed Hosseini Ali Abadi
Publication date: 24 February 2017
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2016.11.010
numerical examplesstochastic differential equationsorder conditionssemi-implicit methodscomputational effortstochastic B-seriesstochastic Runge-Kutta Rosenbrock-type methods
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites Work
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