ECONOMICAL RUNGE-KUTTA METHODS FOR NUMERICAL SOLUTION OF STOCHASTIC DIFFERENTIAL EQUATIONS

被引：4

作者：

Costabile, F. ^{[1
]}

Napoli, A. ^{[2
]}

机构：

[1] Univ Calabria, Dept Math, I-87036 Arcavacata Di Rende, CS, Italy

[2] Univ Calabria, Dept Comp Sci, I-87036 Arcavacata Di Rende, CS, Italy

来源：

BIT NUMERICAL MATHEMATICS | 2008年 / 48卷 / 03期

关键词：

stochastic differential equations;

D O I：

10.1007/s10543-008-0190-z

中图分类号：

TP31 [计算机软件];

学科分类号：

081202 ; 0835 ;

摘要：

For the numerical solution of stochastic differential equations an economical Runge-Kutta scheme of second order in the weak sense is proposed. Numerical stability is studied and some examples are presented to support the theoretical results.

引用

页码：499 / 509

页数：11

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