Economical Runge–Kutta methods for numerical solution of stochastic differential equations

被引：0

作者：

F. Costabile

A. Napoli

机构：

[1] Università della Calabria,Department of Mathematics

[2] Università della Calabria,Department of Computer Science

来源：

BIT Numerical Mathematics | 2008年 / 48卷

关键词：

stochastic differential equations;

D O I：

暂无

中图分类号：

学科分类号：

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：10

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