Weak first- or second-order implicit Run
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Yoshio Komori
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Article
📅
2008
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Elsevier Science
🌐
English
⚖ 363 KB
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