Order Conditions of Stochastic Runge--Kutta Methods by B-Series
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Numerical Analysis,Applied Mathematics,Computational Mathematics
Link
http://epubs.siam.org/doi/pdf/10.1137/S0036142999363206
Reference14 articles.
1. Flots et series de Taylor stochastiques
2. High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
3. General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems
4. High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula
5. A bound on the maximum strong order of stochastic Runge-Kutta methods for stochastic ordinary differential equations
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