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.
The following are source files implimenting the algorithm proposed in the paper: Sample_codes_JCAM2011.
Last updated: 2026/01/04