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.
Economical Runge-Kutta methods for numerical solution of stochastic differential equations
NAPOLI, Anna;
2008-01-01
Abstract
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.File in questo prodotto:
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