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math.NA2013
A stable numerical scheme for stochastic differential equations with multiplicative noise
C. M. Mora, H. A. Mardones, J. C. Jimenez +2
We introduce a new approach for designing numerical schemes for stochastic differential equations (SDEs). The approach, which we have called direction and norm decomposition method…
math.NA2012
Local Linearization-Runge Kutta Methods: a class of A-stable explicit integrators for dynamical systems
H. de la Cruz, R. J. Biscay, J. C. Jimenez +1
A new approach for the construction of high order A-stable explicit integrators for ordinary differential equations (ODEs) is theoretically studied. Basically, the integrators are…