Weak second-order stochastic Runge–Kutta methods for non-commutative stochastic differential equations
نویسندگان
چکیده
منابع مشابه
Supplement: Efficient weak second order stochastic Runge-Kutta methods for non-commutative Stratonovich stochastic differential equations
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.
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2007
ISSN: 0377-0427
DOI: 10.1016/j.cam.2006.06.006