Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise

DOI10.1007/s10543-010-0276-2zbMath1211.65004arXiv0910.1078OpenAlexW1975827655MaRDI QIDQ1960213

Kristian Debrabant

Publication date: 13 October 2010

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0910.1078

zbMATH Keywords

stochastic differential equationweak approximationadditive noisestochastic Runge-Kutta method

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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