Weak order stochastic Runge-Kutta methods for commutative stochastic differential equations

Journal of Computational and Applied Mathematics

Volumn 203, Issue 1, 2007, Pages 57-79

  Komori, Yoshio ^a  

^a KYUSHU INSTITUTE OF TECHNOLOGY   (Japan)

Author keywords

Commutativity condition; Derivative free; Explicit scheme; Multi dimensional Wiener process; Multiplicative noise

Indexed keywords

DIFFERENTIAL EQUATIONS; NUMERICAL METHODS; RANDOM PROCESSES; TREES (MATHEMATICS);

COMMUTATIVITY CONDITIONS;

RUNGE KUTTA METHODS;

EID: 33847361411     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2006.03.010     Document Type: Article

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