A note on the Runge-Kutta method for stochastic differential equations
Török, Csaba
Commentationes Mathematicae Universitatis Carolinae, Tome 33 (1992), p. 121-124 / Harvested from Czech Digital Mathematics Library
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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.

Publié le : 1992-01-01
Classification:  60H10,  65L05 
@article{118477,
     author = {Csaba T\"or\"ok},
     title = {A note on the Runge-Kutta method for stochastic differential equations},
     journal = {Commentationes Mathematicae Universitatis Carolinae},
     volume = {33},
     year = {1992},
     pages = {121-124},
     zbl = {0753.60052},
     mrnumber = {1173753},
     language = {en},
     url = {http://dml.mathdoc.fr/item/118477}
}

Török, Csaba. A note on the Runge-Kutta method for stochastic differential equations. Commentationes Mathematicae Universitatis Carolinae, Tome 33 (1992) pp. 121-124. http://gdmltest.u-ga.fr/item/118477/

Rümelin W. Numerical treatment of stochastic differential equations, SIAM J. Numer. Anal. 19 (1982), 604-613. (1982) | MR 0656474

Aljushina L.A. Lomanyje Eulera dlja uravnenij Ito s monotonnymi koefficientami, Teor. Veroyatnost. i Primenen. 33 (1987), 367-373. (1987)