2nd Seminar on Financial Mathematics and Mathematics of Social Networks , 2011-02-16

Title : ( A CLASS OF STOCHASTIC RUNGE-KUTTA METHODS FOR WEAK APPROXIMATION OF ITˆO SDE )

Authors: Ali Reza Soheili , راضییه قره چاهی ,

Citation: BibTeX | EndNote

In the present paper,a class of explicit stochastic Runge- Kutta (SRK) methods for Itˆo stochastic equation systems w.r.t mdimentional wiener processes satisfying a commutativity condition is developed. General conditions for the coefficients of the SRK methods assuring convergence with order two in the weak sense are presented. Due to the commutativity condition, no correlated random variables have to be generated for the considered Runge- Kutta methods.

Keywords

, stochastic differential equations, weak approximation, Runge-Kutta methods, Numerical
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@inproceedings{paperid:1020206,
author = {Soheili, Ali Reza and راضییه قره چاهی},
title = {A CLASS OF STOCHASTIC RUNGE-KUTTA METHODS FOR WEAK APPROXIMATION OF ITˆO SDE},
booktitle = {2nd Seminar on Financial Mathematics and Mathematics of Social Networks},
year = {2011},
location = {زنجان, IRAN},
keywords = {stochastic differential equations;weak approximation;Runge-Kutta methods;Numerical methods},
}

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%0 Conference Proceedings
%T A CLASS OF STOCHASTIC RUNGE-KUTTA METHODS FOR WEAK APPROXIMATION OF ITˆO SDE
%A Soheili, Ali Reza
%A راضییه قره چاهی
%J 2nd Seminar on Financial Mathematics and Mathematics of Social Networks
%D 2011

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