Second order weak Runge-Kutta type methods for Itô equations

Mathematics and Computers in Simulation

Volumn 57, Issue 1-2, 2001, Pages 29-34

  Mackevičius, Vigirdas ^a   Navikas, Jurgis ^a  

^a VILNIUS UNIVERSITY   (Lithuania)

Author keywords

Runge Kutta method; Stochastic differential equation; Weak approximation

Indexed keywords

APPROXIMATION THEORY; COMPUTATIONAL COMPLEXITY; DIFFERENTIAL EQUATIONS; RANDOM PROCESSES; THEOREM PROVING;

MILSTEIN APPROXIMATIONS;

RUNGE KUTTA METHODS;

EID: 0034899603     PISSN: 03784754     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4754(00)00284-6     Document Type: Article

References (5)

1. Second order weak approximations for Stratonovich stochastic differential equations
2. A method of second-order accuracy for the integration of stochastic differential equations
3. Discrétization d'une équation différentielle stochastique et calcul approché d'espérences de fonctionnelles de la solution