Continuous weak approximation for stochastic differential equations

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

Andreas Rößler, Kristian Debrabant

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 equation; convergence; numerical example; weak approximation; optimal scheme; continuous approximation; one-step methods; stochastic Runge-Kutta method

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65L20: Stability and convergence of numerical methods for ordinary differential equations

34F05: Ordinary differential equations and systems with randomness

65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

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

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