High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations

DOI10.1016/S0168-9274(96)00027-XzbMath0868.65101MaRDI QIDQ5961735

Pamela M. Burrage, Kevin Burrage

Publication date: 5 August 1997

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equations; explicit Runge-Kutta methods; four stage method; two stage method

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

34F05: Ordinary differential equations and systems with randomness

65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations

65C99: Probabilistic methods, stochastic differential equations

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