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

From MaRDI portal
Revision as of 13:54, 6 July 2023 by Importer (talk | contribs) (‎Created a new Item)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
scientific article
Language Label Description Also known as
English
Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family
scientific article

    Statements

    Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family (English)
    0 references
    0 references
    12 March 2007
    0 references
    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.
    0 references
    numerical examples
    0 references
    Stratonovich stochastic differential equation
    0 references
    weak approximation
    0 references
    multi-dimensional Wiener process
    0 references
    Runge-Kutta type schemes
    0 references
    weak order conditions
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references