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
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
Journal title :
Applied Numerical Mathematics
