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A practical and new Runge--Kutta numerical scheme for stochastic differential equations is explored.
Numerical solution of stochastic differential equations
P. E. Kloeden and E. Platen · 1992
Earlier work this paper cites.
An algorithmic introduction to numerical simulation of stochastic differential equations
Desmond J. Higham · 2001
Earlier work this paper cites.
A brief overview of numerical methods for stochastic differential equations
P. E. Kloeden · 2001
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Advanced engineering mathematics
E. Kreyszig · 2006
Earlier work this paper cites.
Multi-colored rooted tree analysis of the weak order conditions of a stochastic runge–kutta family
Yoshio Komori · 2007
Cited alongside, same era.
Weak order stochastic runge–kutta methods for commutative stochastic differential equations
Yoshio Komori · 2007
Cited alongside, same era.
Weak second-order stochastic runge–kutta methods for non-commutative stochastic differential equations
Yoshio Komori · 2007
Cited alongside, same era.
Normal form transforms separate slow and fast modes in stochastic dynamical systems
A. J. Roberts · 2007
Cited alongside, same era.
Second order runge–kutta methods for ito stochastic differential equations
Andreas Rossler · 2009
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Elementary calculus of financial mathematics
A. J. Roberts · 2010
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Runge–kutta methods for the strong approximation of solutions of stochastic differential equations
Andreas Rossler · 2010
Later among the works it cites.
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