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Implicit Stochastic Runge–Kutta Methods for Stochastic Differential Equations

✍ Scribed by Kevin Burrage; Tianhai Tian


Book ID
111574600
Publisher
Springer Netherlands
Year
2004
Tongue
English
Weight
264 KB
Volume
44
Category
Article
ISSN
0006-3835

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Weak first- or second-order implicit Run
✍ Yoshio Komori 📂 Article 📅 2008 🏛 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