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Second order Runge–Kutta methods for Stratonovich stochastic differential equations

✍ Scribed by Andreas Rößler


Publisher
Springer Netherlands
Year
2007
Tongue
English
Weight
708 KB
Volume
47
Category
Article
ISSN
0006-3835

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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