Second order weak Runge-Kutta type methods for Itô equations (Q5944018)
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scientific article; zbMATH DE number 1649051
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Second order weak Runge-Kutta type methods for Itô equations |
scientific article; zbMATH DE number 1649051 |
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Second order weak Runge-Kutta type methods for Itô equations (English)
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25 March 2002
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Runge-Kutta type methods
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Itô stochastic differential equation
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The authors present a procedure for obtaining Runge-Kutta type methods for approximating the solution of an Itô stochastic differential equation. Simulation results showing the success of a Runge-Kutta method derived by this procedure when applied to the example NEWLINE\[NEWLINEdX_t=(\frac 12 X_t+\sqrt{X^2_t+1})dt+\sqrt{X^2_t+1}dB_t,\quad X_0=0,NEWLINE\]NEWLINE are discussed.
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