Three-stage stochastic Runge-Kutta methods for stochastic differential equations

Journal of Computational and Applied Mathematics

Volumn 222, Issue 2, 2008, Pages 324-332

  Wang, Peng ^a  

^a JILIN UNIVERSITY   (China)

Author keywords

Numerical stability; Order condition; Principal error coefficient; Runge Kutta method; Stochastic differential equation

Indexed keywords

DIFFERENCE EQUATIONS; DIFFERENTIAL EQUATIONS; DIFFERENTIATION (CALCULUS); MEASUREMENT THEORY; STABILITY; STAGES; STOCHASTIC CONTROL SYSTEMS; STOCHASTIC PROGRAMMING;

NUMERICAL STABILITY; ORDER CONDITION; PRINCIPAL ERROR COEFFICIENT; RUNGE-KUTTA METHOD; STOCHASTIC DIFFERENTIAL EQUATION;

RUNGE KUTTA METHODS;

EID: 53449093023     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2007.11.001     Document Type: Article

References (14)

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