Runge-Kutta Algorithm for the Numerical Integration of Stochastic Differential Equations

DOI10.2514/3.56665zbMath0838.93080OpenAlexW2096965069MaRDI QIDQ4842221

N. Jeremy Kasdin

Publication date: 11 June 1996

Published in: Journal of Guidance, Control, and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2514/3.56665

zbMATH Keywords

numerical integrationstochastic differential equationssimulationsdiscrete approximationcovarianceRunge-Kutta algorithm

Mathematics Subject Classification ID

Stochastic systems and control (93E99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

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