Strong first order S-ROCK methods for stochastic differential equations

Komori, Yoshio & Burrage, Kevin (2013) Strong first order S-ROCK methods for stochastic differential equations. Journal of Computational and Applied Mathematics, pp. 261-274.

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6 citations in Scopus
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6 citations in Web of Science®

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ID Code: 77026
Item Type: Journal Article
Refereed: Yes
Keywords: Chebyshev method, Convergence order, Derivative-free, Explicit method, First order, Mean square stability, Non-commutative, Numerical experiments, Stability properties, Stability regions, Stochastic differential equations, Ordinary differential equations
DOI: 10.1016/j.cam.2012.10.026
ISSN: 0377-0427
Divisions: Current > Schools > School of Mathematical Sciences
Current > QUT Faculties and Divisions > Science & Engineering Faculty
Deposited On: 07 Oct 2014 07:01
Last Modified: 07 Oct 2014 07:06

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