Title of article :
Supplement: Efficient weak second order stochastic Runge–Kutta methods for non-commutative Stratonovich stochastic differential equations
Author/Authors :
Komori، نويسنده , , Yoshio and Burrage، نويسنده , , Kevin، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2011
Abstract :
This paper gives a modification of a class of stochastic Runge–Kutta methods proposed in a paper by Komori (2007). The slight modification can reduce the computational costs of the methods significantly.
Keywords :
order conditions , Multiplicative noise , Weak approximation
Journal title :
Journal of Computational and Applied Mathematics
Journal title :
Journal of Computational and Applied Mathematics