Debrabant, Kristian; Rößler, Andreas - In: Mathematics and Computers in Simulation (MATCOM) 77 (2008) 4, pp. 408-420
In the present paper, a class of stochastic Runge–Kutta methods containing the second order stochastic Runge–Kutta scheme due to E. Platen for the weak approximation of Itô stochastic differential equation systems with a multi-dimensional Wiener process is considered. Order 1 and order 2...