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

Journal of Computational and Applied Mathematics

Volumn 206, Issue 1, 2007, Pages 158-173

  Komori, Yoshio ^a  

^a KYUSHU INSTITUTE OF TECHNOLOGY   (Japan)

Author keywords

Derivative free; Explicit scheme; Multi colored rooted tree; Multi dimensional Wiener process; Multiplicative noise

Indexed keywords

NUMERICAL METHODS; RANDOM VARIABLES; RUNGE KUTTA METHODS; STOCHASTIC CONTROL SYSTEMS;

EXPLICIT SCHEMES; MULTI-COLORED ROOTED TREES; MULTI-DIMENSIONAL WIENER PROCESS; MULTIPLICATIVE NOISE;

DIFFERENTIAL EQUATIONS;

EID: 34249278816     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2006.06.006     Document Type: Article

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