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  • Search: subject:"Stochastic Runge–Kutta method"
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Classification 1 Optimal scheme 1 Stochastic Runge–Kutta method 1 Stochastic differential equation 1 Weak approximation 1
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Debrabant, Kristian 1 Rößler, Andreas 1
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Mathematics and Computers in Simulation (MATCOM) 1
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Classification of stochastic Runge–Kutta methods for the weak approximation of stochastic differential equations
Debrabant, Kristian; Rößler, Andreas - In: Mathematics and Computers in Simulation (MATCOM) 77 (2008) 4, pp. 408-420
In the present paper, a class of stochastic Runge–Kutta methods containing the second order stochastic Runge–Kutta scheme due to E. Platen for the weak approximation of Itô stochastic differential equation systems with a multi-dimensional Wiener process is considered. Order 1 and order 2...
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