Adaptive Step Size Stochastic Runge-Kutta Method of Order 1.5(1.0) for Stochastic Differential Equations (SDEs)
The stiff stochastic differential equations (SDEs) involve the solution with sharp turning points that permit us to use a very small step size to comprehend its behavior. Since the step size must be set up to be as small as possible, the implementation of the fixed step size method will result in hi...
| Published in: | Mathematics and Statistics |
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| Main Author: | |
| Format: | Article |
| Language: | English |
| Published: |
Horizon Research Publishing
2023
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| Online Access: | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85148226418&doi=10.13189%2fms.2023.110121&partnerID=40&md5=1b08a9628e494559875bfe3f77b97f94 |