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

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DOI10.1016/S0168-9274(96)00027-XzbMath0868.65101OpenAlexW1982439384MaRDI QIDQ5961735

Pamela M. Burrage, Kevin Burrage

Publication date: 5 August 1997

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

Full work available at URL: https://doi.org/10.1016/s0168-9274(96)00027-x

zbMATH Keywords

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

Mathematics Subject Classification ID

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) Probabilistic methods, stochastic differential equations (65C99)

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