Csaba T\"or\"ok

Csaba T\"or\"ok
A note on the Runge--Kutta method for stochastic differential equations

Comment.Math.Univ.Carolinae 33,1 (1992) 121-124.

Abstract: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.

Keywords: stochastic differential equation, Runge--Kutta method, monotonicity and Lipschitz condition
AMS Subject Classification: 60H10, 65L05

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Csaba T\"or\"ok A note on the Runge--Kutta method for stochastic differential equations

Csaba T\"or\"ok
A note on the Runge--Kutta method for stochastic differential equations