Continuous weak approximation for stochastic differential equations

DOI10.1016/j.cam.2007.02.040zbMath1151.65009arXiv1303.4223OpenAlexW2054390557MaRDI QIDQ2479386

Kristian Debrabant, Andreas Rößler

Publication date: 26 March 2008

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.4223

zbMATH Keywords

stochastic differential equationconvergencenumerical exampleweak approximationoptimal schemecontinuous approximationone-step methodsstochastic Runge-Kutta method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise ⋮ Issues in the Software Implementation of Stochastic Numerical Runge–Kutta ⋮ An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations
• Rooted tree analysis of the order conditions of row-type scheme for stochastic differential equations
• A survey of numerical methods for stochastic differential equations
• Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise.
• Classification of stochastic Runge-Kutta methods for the weak approximation of stochastic differential equations
• Runge-Kutta methods for Itô stochastic differential equations with scalar noise
• Order Conditions of Stochastic Runge--Kutta Methods by B-Series
• Solving Ordinary Differential Equations I
• Asymptotically Efficient Runge-Kutta Methods for a Class of Itô and Stratonovich Equations
• Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
• Weak approximation of stochastic differential delay equations
• Weak Second Order Conditions for Stochastic Runge--Kutta Methods
• Stahle ROW-Type Weak Scheme for Stochastic Differential Equations
• Runge-Kutta methods for numerical solution of stochastic differential equations
• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations