Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family (Q870288): Difference between revisions

The author derives numerical schemes for the higher order weak approximation of Stratonovich stochastic differential equations. By an extension of the rooted tree analysis, invented by \textit{J. C. Butcher} [Numerical methods for ordinary differential equations (2003; Zbl 1040.65057)], a stochastic family of Runge-Kutta type schemes is suggested. Weak order conditions are obtained from multi-colored rooted tree diagrams. The technique allows to systematically develop higher order weak schemes.