Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations
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Publication:512857
DOI10.1007/s10543-016-0618-9zbMath1359.60086OpenAlexW2342991527MaRDI QIDQ512857
Publication date: 2 March 2017
Published in: BIT (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10543-016-0618-9
Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) 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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