| Title:
|
A note on the Runge-Kutta method for stochastic differential equations (English) |
| Author:
|
Török, Csaba |
| Language:
|
English |
| Journal:
|
Commentationes Mathematicae Universitatis Carolinae |
| ISSN:
|
0010-2628 (print) |
| ISSN:
|
1213-7243 (online) |
| Volume:
|
33 |
| Issue:
|
1 |
| Year:
|
1992 |
| Pages:
|
121-124 |
| . |
| Category:
|
math |
| . |
| Summary:
|
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. (English) |
| Keyword:
|
stochastic differential equation |
| Keyword:
|
Runge--Kutta method |
| Keyword:
|
monotonicity and Lipschitz condition |
| MSC:
|
60H10 |
| MSC:
|
65L05 |
| idZBL:
|
Zbl 0753.60052 |
| idMR:
|
MR1173753 |
| . |
| Date available:
|
2009-01-08T17:54:03Z |
| Last updated:
|
2012-04-30 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/118477 |
| . |
| Reference:
|
[1] Rümelin W.: Numerical treatment of stochastic differential equations.SIAM J. Numer. Anal. 19 (1982), 604-613. MR 0656474 |
| Reference:
|
[2] Aljushina L.A.: Lomanyje Eulera dlja uravnenij Ito s monotonnymi koefficientami.Teor. Veroyatnost. i Primenen. 33 (1987), 367-373. |
| . |
