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

✍ Scribed by F. Costabile; A. Napoli


Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
188 KB
Volume
61
Category
Article
ISSN
0168-9274

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New fully implicit stochastic Runge-Kutta schemes of weak order 1 or 2 are proposed for stochastic differential equations with sufficiently smooth drift and diffusion coefficients and a scalar Wiener process, which are derivative-free and which are A-stable in mean square for a linear test equation