• Title of article

    Economical Runge–Kutta methods with strong global order one for stochastic differential equations

  • Author/Authors

    Costabile، نويسنده , , F. and Napoli، نويسنده , , A.، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2011
  • Pages
    10
  • From page
    160
  • To page
    169
  • Abstract
    Economical Runge–Kutta schemes for the numerical solution of Stratonovich stochastic differential equations are proposed. The methods have strong global order 1. Numerical stability is studied and some examples are presented to support the theoretical results.
  • Keywords
    stochastic differential equations , Stochastic Taylor expansion , Mean-square stability
  • Journal title
    Applied Numerical Mathematics
  • Serial Year
    2011
  • Journal title
    Applied Numerical Mathematics
  • Record number

    1529614

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=1529614