New S-ROCK methods for stochastic differential equations with commutative noise
The class of strong stochastic Runge–Kutta (SRK) methods for stochas tic differential equations with a commutative noise proposed by R¨ oßler (2010) is considered. Motivated by Komori and Burrage (2013), we design a class of explicit stochastic orthogonal Runge–Kutta Chebyshev (SROCKC2) meth ods of...
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| Format: | Article |
| Language: | English |
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Ferdowsi University of Mashhad
2019-03-01
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| Series: | Iranian Journal of Numerical Analysis and Optimization |
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| Online Access: | https://ijnao.um.ac.ir/article_24806_e91d1901ef10e00b53e9ef5e361e2a1b.pdf |