... Stochastic Runge–Kutta method. Continuous Runge–Kutta method. Weak approximation. Optimal scheme ... methods. As an example, we consider the continuous extension ...

Families of efficient second order Runge--Kutta methods for the weak approximation of Itô stochastic differential equations ... Continuous Runge-Kutta method ...

Second order SRK methods for the weak approximation of SDEs were proposed by Kloeden and Platen [11], Komori [13], Mackevicius and Navikas [14], Tocino and Vigo ...

Mar 18, 2013 · Title:Continuous Weak Approximation for Stochastic Differential Equations ... stochastic Runge-Kutta scheme due to Platen are derived. Further ...

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### [PDF] Continuous weak approximation for stochastic differential equations

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Rößler, Rooted tree analysis for order conditions of stochastic Runge–Kutta methods for the weak approximation of stochastic differential equations, Stochastic ...

A convergence theorem for the continuous weak approximation of the solution of stochastic differential equations (SDEs) by general one-step methods is ...

Aug 21, 2024 · Explicit Runge-Kutta methods for SDEs extend classical RK methods to stochastic systems ... Weak convergence, on the other hand, indicates ...

"Weak order stochastic Runge–Kutta methods for commutative stochastic differential equations". Journal of Computational and Applied Mathematics. 203: 57–79 ...

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Stochastic differential equations (SDEs) are applied in many disciplines like physics, biology or mathematical finance in order to describe dynamical ...

Rooted tree analysis for order conditions of stochastic Runge–Kutta methods for the weak approximation of stochastic differential equations. Stochastics Anal ...

Missing: Extension | Show results with:Extension