Strong first order \(S\)-ROCK methods for stochastic differential equations

DOI10.1016/j.cam.2012.10.026zbMath1258.65007OpenAlexW2000130438MaRDI QIDQ1932776

Yoshio Komori, Kevin Burrage

Publication date: 21 January 2013

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.10.026

zbMATH Keywords

explicit methodmean square stabilitystochastic orthogonal Runge-Kutta Chebyshev method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical methods for initial value problems involving ordinary differential equations (65L05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical solutions to stochastic differential and integral equations (65C30)

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