Modify the Improved Euler scheme to integrate stochastic differential equations

Roberts, A. J. (2012). Modify the Improved Euler scheme to integrate stochastic differential equations.

Type

Unclassified

Intellectual base

Unclassified

Year

2012

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Cited by

1 citation across 1 artifact.

Domain-specific

• Runge–Kutta method (SDE)
  • Stochastic Runge–Kutta methods generalize staged deterministic Runge–Kutta constructions to Itô or Stratonovich SDEs, with coefficients chosen for a declared strong or weak convergence order.

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