Y. Komori and K. Burrage (2011), Supplement: efficient weak second order
stochastic Runge-Kutta methods for non-commutative Stratonovich stochastic
differential equations, Journal of Computational and Applied Mathematics,
235 (17), 5326-5329.
Abstract
This paper gives a modification of a class of stochastic Runge-Kutta methods proposed in a paper by Komori (2007). The slight modification can reduce the computational costs of the methods significantly.
Note
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The following are source files implimenting the algorithm proposed in the paper:
Last updated: 2011/07/01