Implicit stochastic Runge-Kutta methods for stochastic differential equations

BIT Numerical Mathematics

Volumn 44, Issue 1, 2004, Pages 21-39

  Burrage, Kevin ^a   Tian, Tianhai ^a  

^a UNIVERSITY OF QUEENSLAND   (Australia)

Author keywords

Numerical stability; Runge Kutta methods; Stiffy accurate; Stochastic differential equations

Indexed keywords

EID: 4043136017     PISSN: 00063835     EISSN: None     Source Type: Journal    
DOI: 10.1023/B:BITN.0000025089.50729.0f     Document Type: Article

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