Economical Runge-Kutta methods for numerical solution of stochastic differential equations
type: Item
instance of: scholarly article
title: Economical Runge-Kutta methods for numerical solution of stochastic differential equations
zbMATH Open document ID: 1155.65007
published in: BIT
publication date: 2008-12-16T00:00:00Z
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 34F05
Mathematics Subject Classification ID: 65L06
Mathematics Subject Classification ID: 65L20
zbMATH DE Number: 5382743
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: numerical examples
zbMATH Keywords: Runge-Kutta scheme
zbMATH Keywords: numerical stability
author: Francesco Aldo Costabile
author: Anna Napoli
MaRDI profile type: Publication
full work available at URL: s10543-008-0190-z
OpenAlex ID: W1967251812
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cites work: A Method of Second-Order Accuracy Integration of Stochastic Differential Equations
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cites work: Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations
cites work: Runge-Kutta methods for numerical solution of stochastic differential equations
cites work: Weak Second Order Conditions for Stochastic Runge--Kutta Methods
DOI: 10.1007/S10543-008-0190-Z
description: scientific article; zbMATH DE number 5382743