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Numerical solution of stochastic differential equations by second order Runge–Kutta methods

✍ Scribed by M. Khodabin; K. Maleknejad; M. Rostami; M. Nouri


Book ID
108200995
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
258 KB
Volume
53
Category
Article
ISSN
0895-7177

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The pioneering work of Runge and Kutta a hundred years ago has ultimately led to suites of sophisticated numerical methods suitable for solving complex systems of deterministic ordinary differential equations. However, in many modelling situations, the appropriate representation is a stochastic diff