Supplement : Efficient weak second-order stochastic Runge-Kutta methods for non-commutative Stratonvich stochastic differential equations
| Data(s) |
01/07/2011
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| Resumo |
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. |
| Formato |
application/pdf |
| Identificador | |
| Publicador |
Elsevier |
| Relação |
http://eprints.qut.edu.au/46187/1/46187a.pdf DOI:10.1016/j.cam.2011.04.021 Komori, Yoshio & Burrage, Kevin (2011) Supplement : Efficient weak second-order stochastic Runge-Kutta methods for non-commutative Stratonvich stochastic differential equations. Journal of Computational and Applied Mathematics, 235(17), pp. 5326-5329. |
| Direitos |
Copyright 2011 Elsevier NOTICE: this is the author’s version of a work that was accepted for publication in Journal of Computational and Applied Mathematics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Computational and Applied Mathematics, 235(17), pp. 5326-5329. http://dx.doi.org/10.1016/j.cam.2011.04.021 |
| Fonte |
Faculty of Science and Technology; Mathematical Sciences |
| Palavras-Chave | #Order conditions #Multplicative noise #Weak approximation |
| Tipo |
Journal Article |
