A third-order weak approximation of multidimensional Itô stochastic differential equations

DOI10.1515/mcma-2019-2036zbMath1418.60101OpenAlexW2949971095MaRDI QIDQ2315350

Riu Naito, Toshihiro Yamada

Publication date: 2 August 2019

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2019-2036

zbMATH Keywords

stochastic differential equationweak approximationthird-order method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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