Weak Second Order Conditions for Stochastic Runge--Kutta Methods (Q4785933)
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scientific article; zbMATH DE number 1848748
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Weak Second Order Conditions for Stochastic Runge--Kutta Methods |
scientific article; zbMATH DE number 1848748 |
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Weak Second Order Conditions for Stochastic Runge--Kutta Methods (English)
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5 January 2003
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stochastic differential equations
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weak approximation
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Wagner-Platen expansion
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stochastic Runge-Kutta methods
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weak numerical schemes
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simulation
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Itô-Taylor expansion
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weak convergence
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Brownian motion
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numerical experiments
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stochastic theta-methods
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Euler methods
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0.874268114566803
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0.8587482571601868
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0.8577114939689636
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0.8466072678565979
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