Strong Runge-Kutta Methods With order one for Numerical Solution of Ito Stochastic Differential Equations

DOI10.1093/AMRX/ABM003zbMath1141.60045OpenAlexW2115013105MaRDI QIDQ5443659

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Publication date: 22 February 2008

Published in: Applied Mathematics Research eXpress (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/amrx/abm003

zbMATH Keywords

stochastic Runge-Kutta method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical methods for initial value problems involving ordinary differential equations (65L05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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