Title of article
Second order weak Runge–Kutta type methods for Itô equations Original Research Article
Author/Authors
Vigirdas Mackevi?ius، نويسنده , , Jurgis Navikas، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2001
Pages
6
From page
29
To page
34
Abstract
A ‘standard’ second order weak Runge–Kutta method for a stochastic differential equation can be applied only in the case where the equation is understood in the Stratonovich sense. To adapt Runge–Kutta type methods for Itô equations, we propose to use a rather simple additional derivative-free term.
Keywords
Runge–Kutta method , Stochastic differential equation , Weak approximation
Journal title
Mathematics and Computers in Simulation
Serial Year
2001
Journal title
Mathematics and Computers in Simulation
Record number
853805
Link To Document