Second order weak Runge–Kutta type methods for Itô equations
Year of publication: |
2001
|
---|---|
Authors: | Mackevičius, Vigirdas ; Navikas, Jurgis |
Published in: |
Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 57.2001, 1, p. 29-34
|
Publisher: |
Elsevier |
Subject: | Stochastic differential equation | Runge–Kutta method | Weak approximation |
-
Ninomiya, Mariko, (2009)
-
Debrabant, Kristian, (2008)
-
On weak approximations of (a, b)-invariant diffusions
Mackevičius, Vigirdas, (2007)
- More ...
-
Stochastic models of financial mathematics
Mackevičius, Vigirdas, (2016)
-
Convergence rate of Euler scheme for stochastic differential equations: Functionals of solutions
Mackevičius, Vigirdas, (1997)
-
On weak approximations of CIR equation with high volatility
Mackevičius, Vigirdas, (2010)
- More ...