Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise

Journal of Computational and Applied Mathematics

Volumn 164-165, Issue , 2004, Pages 613-627

  Rößler, Andreas ^a  

^a DARMSTADT UNIVERSITY OF TECHNOLOGY   (Germany)

Author keywords

Numerical methods; Runge Kutta methods; Stochastic differential equations; Weak approximation

Indexed keywords

COMPUTATIONAL COMPLEXITY; DIFFERENTIAL EQUATIONS; MATHEMATICAL MODELS; RUNGE KUTTA METHODS;

APPLIED MATHEMATICS; RANDOM VARIABLES;

MATHEMATICAL TECHNIQUES;

DIFFERENTIAL EQUATION;

EID: 1442264991     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2003.09.009     Document Type: Article

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