A note on the Runge-Kutta method for stochastic differential equations
Commentationes Mathematicae Universitatis Carolinae (1992)
- Volume: 33, Issue: 1, page 121-124
- ISSN: 0010-2628
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topTörök, Csaba. "A note on the Runge-Kutta method for stochastic differential equations." Commentationes Mathematicae Universitatis Carolinae 33.1 (1992): 121-124. <http://eudml.org/doc/247419>.
@article{Török1992,
abstract = {In the paper the convergence of a mixed Runge--Kutta method of the first and second orders to a strong solution of the Ito stochastic differential equation is studied under a monotonicity condition.},
author = {Török, Csaba},
journal = {Commentationes Mathematicae Universitatis Carolinae},
keywords = {stochastic differential equation; Runge--Kutta method; monotonicity and Lipschitz condition; convergence of a mixed Runge-Kutta method; stochastic differential equation; monotonicity condition},
language = {eng},
number = {1},
pages = {121-124},
publisher = {Charles University in Prague, Faculty of Mathematics and Physics},
title = {A note on the Runge-Kutta method for stochastic differential equations},
url = {http://eudml.org/doc/247419},
volume = {33},
year = {1992},
}
TY - JOUR
AU - Török, Csaba
TI - A note on the Runge-Kutta method for stochastic differential equations
JO - Commentationes Mathematicae Universitatis Carolinae
PY - 1992
PB - Charles University in Prague, Faculty of Mathematics and Physics
VL - 33
IS - 1
SP - 121
EP - 124
AB - In the paper the convergence of a mixed Runge--Kutta method of the first and second orders to a strong solution of the Ito stochastic differential equation is studied under a monotonicity condition.
LA - eng
KW - stochastic differential equation; Runge--Kutta method; monotonicity and Lipschitz condition; convergence of a mixed Runge-Kutta method; stochastic differential equation; monotonicity condition
UR - http://eudml.org/doc/247419
ER -
References
top- Rümelin W., Numerical treatment of stochastic differential equations, SIAM J. Numer. Anal. 19 (1982), 604-613. (1982) MR0656474
- Aljushina L.A., Lomanyje Eulera dlja uravnenij Ito s monotonnymi koefficientami, Teor. Veroyatnost. i Primenen. 33 (1987), 367-373. (1987)
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