Runge-Kutta methods for the numerical solution of stochastic differential equations

By Andreas Rössler. 2003

84 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/8203092a2176c0616cf816834ac872e9ebc588bb

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Citations in the corpus

• S-ROCK methods for stiff Ito SDEs (2008, methodology): “12) We note that higher weak order methods in the framework of the Runge-Kutta methods have been studied in [22].”
• Weak convergence rates of spectral Galerkin approximations for SPDEs with nonlinear diffusion coefficients (2014, background): “[31] Rößler, A. Runge-Kutta Methods for the Numerical Solution of Stochastic Differential Equations.”