Second order Runge-kutta methods for Itô stochastic differential equations

SIAM Journal on Numerical Analysis

Volumn 47, Issue 3, 2009, Pages 1713-1738

  Rößler, Andreas ^a  

^a DARMSTADT UNIVERSITY OF TECHNOLOGY   (Germany)

Author keywords

Multicolored rooted tree analysis; Numerical method; Stochastic differential equation; Stochastic Runge Kutta method; Weak approximation

Indexed keywords

MULTICOLORED ROOTED TREE ANALYSIS; NEW CLASS; ORDER CONDITIONS; ROOTED TREE ANALYSIS; RUNGE-KUTTA; SECOND ORDERS; STOCHASTIC DIFFERENTIAL EQUATION; STOCHASTIC DIFFERENTIAL EQUATIONS; STOCHASTIC RUNGE-KUTTA METHOD; WEAK APPROXIMATION; WEAK CONVERGENCE; WIENER PROCESS;

DIFFERENTIAL EQUATIONS; MEASUREMENT THEORY; NUMBER THEORY; NUMERICAL METHODS; RANDOM PROCESSES; RANDOM VARIABLES; STOCHASTIC CONTROL SYSTEMS;

RUNGE KUTTA METHODS;

EID: 65949086363     PISSN: 00361429     EISSN: None     Source Type: Journal    
DOI: 10.1137/060673308     Document Type: Article

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