A weak order one stochastic Runge-Kutta method

MaRDI QIDQ5422596zbMATH OpenFDO

Authors M. B. Niasar, Ali R. Soheili

Publication date 29 October 2007

zbMATH Keywords

error boundsEuler methodnumerical examplesstochastic differential equationsstochastic Runge-Kutta methodsweak approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Error bounds for numerical methods for ordinary differential equations (65L70)

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Cited in

(3)

• New ROW-type scheme with weak order 2 for approximating stochastic differential equations
• A quasi-randomized Runge-Kutta method
• Weak order stochastic Runge-Kutta methods for commutative stochastic differential equations

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