Stahle ROW-Type Weak Scheme for Stochastic Differential Equations

DOI10.1515/mcma.1995.1.4.279zbMath0841.65146OpenAlexW2044754822MaRDI QIDQ4868317

Yoshio Komori, Taketomo Mitsui

Publication date: 31 July 1996

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.1995.1.4.279

zbMATH Keywords

stabilitynumerical experimentsRosenbrock-Wanner methodROW methodmultidimensional Stratonovich stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Probabilistic methods, stochastic differential equations (65C99)

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