Title : ( A NEW CLASS OF STOCHASTIC RUNGE-KUTTA METHODS FOR WEAK APPROXIMATION OF ITˆO SDE )
Authors: Ali Reza Soheili , Razieh Gharechahi ,
Full TextAbstract
In the present paper,a new class of stochastic Runge-Kutta(SRK) methods for the weak approximation of the solution of Itˆo SDE systems is introduced. Order1 and order2 conditions for coefficients of explicit SRK methods are calculated by applying the coloured rooted tree analysis.
Keywords
, Stochastic Runge-Kutta methods, weak approximation, stochastic differential equations.
@inproceedings{paperid:1020624,
author = {Soheili, Ali Reza and Razieh Gharechahi},
title = {A NEW CLASS OF STOCHASTIC RUNGE-KUTTA METHODS FOR WEAK APPROXIMATION OF ITˆO SDE},
booktitle = {19th Mathematical Seminar On the Analysis and its applications},
year = {2011},
location = {بابلسر-مازندران, IRAN},
keywords = {Stochastic Runge-Kutta methods;weak approximation;stochastic differential equations.},
}
%0 Conference Proceedings
%T A NEW CLASS OF STOCHASTIC RUNGE-KUTTA METHODS FOR WEAK APPROXIMATION OF ITˆO SDE
%A Soheili, Ali Reza
%A Razieh Gharechahi
%J 19th Mathematical Seminar On the Analysis and its applications
%D 2011
