Second order weak Runge–Kutta type methods for Itô equations

A ‘standard’ second order weak Runge–Kutta method for a stochastic differential equation can be applied only in the case where the equation is understood in the Stratonovich sense. To adapt Runge–Kutta type methods for Itô equations, we propose to use a rather simple additional derivative-free term.

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Year of publication:	2001
Authors:	Mackevičius, Vigirdas ; Navikas, Jurgis
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 57.2001, 1, p. 29-34
Publisher:	Elsevier
Subject:	Stochastic differential equation \| Runge–Kutta method \| Weak approximation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011051163