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Title: Continuous weak approximation for stochastic differential equations
Authors: Debrabant, Kristian *
Roessler, Andreas * # ×
Issue Date: Apr-2008
Publisher: Elsevier science bv
Series Title: Journal of computational and applied mathematics vol:214 issue:1 pages:259-273
Abstract: A convergence theorem for the continuous weak approximation of the solution of stochastic differential equations (SDEs) by general one-step methods is proved, which is an extension of a theorem due to Milstein. As an application, uniform second order conditions for a class of continuous stochastic Runge-Kutta methods containing the continuous extension of the second order stochastic Runge-Kutta scheme due to Platen are derived. Further, some coefficients for optimal continuous schemes applicable to U SDEs with respect to a multi-dimensional Wiener process are presented. (C) 2007 Elsevier B.V. All rights reserved.
URI: 
ISSN: 0377-0427
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Non-KU Leuven Association publications
* (joint) first author
× corresponding author
# (joint) last author

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