Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations

DOI10.1080/07362990500397699zbMath1094.65008arXiv1310.6146OpenAlexW3101393227MaRDI QIDQ3375542

Andreas Rößler

Publication date: 14 March 2006

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.6146

zbMATH Keywords

convergenceweak approximationorder conditionstochastic Runge-Kutta methodrooted tree analysismulti-parameter Wiener processItô and Stratonovich stochastic differential equations

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) Numerical methods for initial value problems involving ordinary differential equations (65L05) 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)

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