Continuous weak approximation for stochastic differential equations

DOI10.1016/j.cam.2007.02.040zbMath1151.65009arXiv1303.4223OpenAlexW2054390557MaRDI QIDQ2479386

Kristian Debrabant, Andreas Rößler

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 equationconvergencenumerical exampleweak approximationoptimal schemecontinuous approximationone-step methodsstochastic Runge-Kutta method

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) 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)

Related Items (3)

Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise ⋮ Issues in the Software Implementation of Stochastic Numerical Runge–Kutta ⋮ An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations

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