Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family (Q870288): Difference between revisions
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Revision as of 01:27, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
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| English | Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family |
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Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family (English)
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12 March 2007
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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.
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numerical examples
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Stratonovich stochastic differential equation
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weak approximation
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multi-dimensional Wiener process
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Runge-Kutta type schemes
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weak order conditions
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