Coefficients of Runge-Kutta Schemes for Itô Stochastic Differential Equations

DOI10.1002/pamm.200310553zbMath1354.65149OpenAlexW2063498155MaRDI QIDQ2955361

Andreas Rößler

Publication date: 25 January 2017

Published in: PAMM (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/pamm.200310553

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

Related Items (1)

Runge-Kutta methods for Itô stochastic differential equations with scalar noise

Cites Work

• General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems
• Solving Ordinary Differential Equations I
• Adaptive schemes for the numerical solution of SDEs -- a comparison
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