Continuous Runge-Kutta Methods for Stratonovich Stochastic Differential Equations

DOI10.1007/978-3-540-74496-2_13zbMath1141.65003OpenAlexW1859699207MaRDI QIDQ3504226

Kristian Debrabant, Andreas Rößler

Publication date: 11 June 2008

Published in: Monte Carlo and Quasi-Monte Carlo Methods 2006 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-74496-2_13

zbMATH Keywords

convergencestochastic Runge-Kutta methodsStochastic differential equationscontinuous time approximation methodsStratonovich SDE systems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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