Stochastic Runge-Kutta methods for Itô sodes with small noise

SIAM Journal on Scientific Computing

Volumn 32, Issue 4, 2010, Pages 1789-1808

  Buckwar, Evelyn ^a   Rößler, Andreas ^b   Winkler, Renate ^c  

^a HERIOT WATT UNIVERSITY   (United Kingdom)

^b DARMSTADT UNIVERSITY OF TECHNOLOGY   (Germany)

^c UNIVERSITY OF WUPPERTAL   (Germany)

Author keywords

It stochastic differential equations; Mean square convergence; Small noise; Stochastic Runge Kutta methods

Indexed keywords

INTEGRAL EQUATIONS; ORDINARY DIFFERENTIAL EQUATIONS; RUNGE KUTTA METHODS; STOCHASTIC SYSTEMS;

CONVERGENCE PROPERTIES; DETERMINISTICS; DISCRETIZATIONS; ITÔ STOCHASTIC DIFFERENTIAL EQUATION; MEAN SQUARE CONVERGENCES; MULTIPLICATIVE NOISE; SMALL NOISE; STOCHASTIC DIFFERENTIAL EQUATIONS; STOCHASTIC ORDINARY DIFFERENTIAL EQUATIONS; STOCHASTIC RUNGE-KUTTA METHODS;

ADDITIVE NOISE;

EID: 77955691115     PISSN: 10648275     EISSN: None     Source Type: Journal    
DOI: 10.1137/090763275     Document Type: Article

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