A new adaptive Runge-Kutta method for stochastic differential equations

Journal of Computational and Applied Mathematics

Volumn 206, Issue 2, 2007, Pages 631-644

  Bastani, A Foroush ^a   Hosseini, S Mohammad ^a  

^a TARBIAT MODARES UNIVERSITY   (Iran)

Author keywords

Adaptive time stepping; Forward backward error estimation; Runge Kutta method; Stochastic differential equation

Indexed keywords

APPROXIMATION THEORY; DIFFERENTIAL EQUATIONS; PROBLEM SOLVING; RANDOM PROCESSES;

ADAPTIVE TIME-STEPPING; FORWARD-BACKWARD ERROR ESTIMATION; STOCHASTIC DIFFERENTIAL EQUATION;

RUNGE KUTTA METHODS;

EID: 34249823058     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2006.08.012     Document Type: Article

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