Runge–Kutta Methods for Itô Stochastic Differential Equations with Scalar Noise

Numerical Treatment of Stochastic Differential Equations

W. Rüemelin · SIAM Journal on Numerical Analysis · 1982 · 405 citations

Engineering, Physics, Computational Mechanics +12

Runge–Kutta methods for numerical solution of stochastic differential equations

Ángel Tocino, Ramón Ardanuy · Journal of Computational and Applied Mathematics · 2002 · 119 citations

Natural Sciences, Mathematics, Differential Equations +11

Asymptotically Efficient Runge-Kutta Methods for a Class of Itô and Stratonovich Equations

Nigel J. Newton · SIAM Journal on Applied Mathematics · 1991 · 91 citations

Engineering, Computational Engineering, Stochastic Modeling +12

Weak Second Order Conditions for Stochastic Runge--Kutta Methods

Ángel Tocino, J. Vigo‐Aguiar · SIAM Journal on Scientific Computing · 2002 · 74 citations

Engineering, Mathematics, Differential Equations +14

Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations

Stochastic Analysis and Applications · 2006 · 74 citations · Full text

Engineering, Mathematics, Differential Equations +12