A new higher-order weak approximation scheme for stochastic differential equations and the Runge–Kutta method
| Year of publication: |
2009
|
|---|---|
| Authors: | Ninomiya, Mariko ; Ninomiya, Syoiti |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 13.2009, 3, p. 415-443
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| Publisher: |
Springer |
| Subject: | Free Lie algebra | Mathematical finance | Runge–Kutta method | Stochastic differential equations | Weak approximation |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005061362