Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process

Journal of Computational and Applied Mathematics

Volumn 217, Issue 1, 2008, Pages 166-179

  Komori, Yoshio ^a  

^a KYUSHU INSTITUTE OF TECHNOLOGY   (Japan)

Author keywords

A stability; Bi colored rooted tree; Derivative free; MS stability; Multiplicative noise; Polynomially bounded differential functions; Stratonovich type

Indexed keywords

ASYMPTOTIC STABILITY; CONVERGENCE OF NUMERICAL METHODS; LINEAR EQUATIONS; MEAN SQUARE ERROR; POLYNOMIALS; RUNGE KUTTA METHODS; STOCHASTIC MODELS; TREES (MATHEMATICS);

BI COLORED ROOTED TREES; MS STABILITY; MULTIPLICATIVE NOISE; POLYNOMIALLY BOUNDED DIFFERENTIAL FUNCTIONS; SCALAR WIENER PROCESSES; STOCHASTIC DIFFERENTIAL EQUATIONS; STRATONOVICH TYPES;

DIFFERENTIAL EQUATIONS;

EID: 43049139932     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2007.06.024     Document Type: Article

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