Two classes of semi-implicit stochastic Runge-Kutta methods

zbMATH Open1174.65307MaRDI QIDQ5320537FDOQ5320537

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Publication date: 22 July 2009

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zbMATH Keywords

mean-square stabilitystability regionssemi-implicit Runge-Kutta methodItô stochastic differential equationscolored rooted tree

Mathematics Subject Classification ID

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

Cited In (4)

• A four-stage semi-implicit stochastic Runge-Kutta method
• Strong approximation for Itô stochastic differential equations
• Half-implicit pseudo two-step RKN methods
• Title not available (Why is that?)

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