Abstract
For the numerical solution of stochastic differential equations an economical Runge–Kutta scheme of second order in the weak sense is proposed. Numerical stability is studied and some examples are presented to support the theoretical results.
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AMS subject classification (2000)
60H10
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Costabile, F., Napoli, A. Economical Runge–Kutta methods for numerical solution of stochastic differential equations . Bit Numer Math 48, 499–509 (2008). https://doi.org/10.1007/s10543-008-0190-z
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DOI: https://doi.org/10.1007/s10543-008-0190-z