Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis

Kristian Debrabant, Andreas Rößler

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

OriginalsprogEngelsk
TidsskriftApplied Numerical Mathematics
Vol/bind59
Udgave nummer3-4
Sider (fra-til)595-607
Antal sider13
ISSN0168-9274
DOI
StatusUdgivet - 2009
Udgivet eksterntJa

Citer dette

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Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis. / Debrabant, Kristian; Rößler, Andreas.

I: Applied Numerical Mathematics, Bind 59, Nr. 3-4, 2009, s. 595-607.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

TY - JOUR

T1 - Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis

AU - Debrabant, Kristian

AU - Rößler, Andreas

PY - 2009

Y1 - 2009

U2 - 10.1016/j.apnum.2008.03.011

DO - 10.1016/j.apnum.2008.03.011

M3 - Journal article

VL - 59

SP - 595

EP - 607

JO - Applied Numerical Mathematics

JF - Applied Numerical Mathematics

SN - 0168-9274

IS - 3-4

ER -