Weak Second Order Conditions for Stochastic Runge--Kutta Methods

DOI10.1137/S1064827501387814zbMath1025.65011MaRDI QIDQ4785933

Alicia Tocino, Jesus Vigo Aguiar

Publication date: 5 January 2003

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

zbMATH Keywords

weak convergencesimulationBrownian motionnumerical experimentsstochastic differential equationsweak approximationweak numerical schemesstochastic Runge-Kutta methodsItô-Taylor expansionEuler methodsWagner-Platen expansionstochastic theta-methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic approximation (62L20) Ordinary differential equations and systems with randomness (34F05) 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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