Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations

Rößler, A. (2010). Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations.

Type

Unclassified

Intellectual base

Unclassified

Year

2010

DOI

10.1137/09076636x

Link

https://doi.org/10.1137/09076636x

Cited by

1 citation across 1 artifact.

Domain-specific

• Runge–Kutta method (SDE)
  • … canonical instance directly demonstrates that the stage equations, stochastic integral interpretation, increment law, and claimed strong or weak order conditions are all fixed and satisfied. to An applied instance preserves the same invariant under a changed scale, notation, jurisdiction, dataset, or implementation..

Verification

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