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Y. Saito and T. Mitsui, “Stability Analysis of Numerical Schemes for Stochastic Differential Equations,” SIAM Journal on Numerical Analysis, Vol. 33, No. 6, 1996, pp. 2254-2267. HUdoi:10.1137/S0036142992228409U

has been cited by the following article:

• TITLE: Two Implicit Runge-Kutta Methods for Stochastic Differential Equation

  AUTHORS: Fuwen Lu, Zhiyong Wang

  KEYWORDS: Stochastic Differential Equation; Implicit Stochastic Runge-Kutta Method; Order Condition

  JOURNAL NAME: Applied Mathematics, Vol.3 No.10, October 12, 2012

  ABSTRACT: In this paper, the Ito-Taylor expansion of stochastic differential equation is briefly introduced. The colored rooted tree theory is applied to derive strong order 1.0 implicit stochastic Runge-Kutta method(SRK). Two fully implicit schemes are presented and their stability qualities are discussed. And the numerical report illustrates the better numerical behavior.