Weak second order S-ROCK methods for Stratonovich stochastic differential equations
نویسندگان
چکیده
منابع مشابه
Weak second order S-ROCK methods for Stratonovich stochastic differential equations
It is well known that the numerical solution of stiff stochastic ordinary differential equations leads to a step size reduction when explicit methods are used. This has led to a plethora of implicit or semi-implicit methods with a wide variety of stability properties. However, for stiff stochastic problems in which the eigenvalues of a drift term lie near the negative real axis, such as those a...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2012
ISSN: 0377-0427
DOI: 10.1016/j.cam.2012.01.033