Rosenbrock-type methods for solving stochastic differential equations

DOI10.15372/sjnm20240201zbMath1543.65013MaRDI QIDQ6572963

Tatiana A. Averina, Konstantin A. Rybakov

Publication date: 16 July 2024

Published in: Sibirskiĭ Zhurnal Vychislitel'noĭ Matematiki (Search for Journal in Brave)

zbMATH Keywords

numerical methodstochastic differential equationsEuler-Maruyama methodMilstein methodrotational diffusionRosenbrock-type method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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