{
  "id": "1303.4223",
  "version": "v1",
  "published": "2013-03-18T12:11:21.000Z",
  "updated": "2013-03-18T12:11:21.000Z",
  "title": "Continuous Weak Approximation for Stochastic Differential Equations",
  "authors": [
    "Kristian Debrabant",
    "Andreas Rößler"
  ],
  "journal": "Journal of Computational and Applied Mathematics 214 (2008) no. 1, pp. 259-273",
  "doi": "10.1016/j.cam.2007.02.040",
  "categories": [
    "math.NA"
  ],
  "abstract": "A convergence theorem for the continuous weak approximation of the solution of stochastic differential equations 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 It\\^o stochastic differential equations with respect to a multi-dimensional Wiener process are presented.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2013-03-18T12:11:21.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "65C30",
      "60H35",
      "65C20",
      "68U20"
    ],
    "keywords": [
      "stochastic differential equations",
      "continuous weak approximation",
      "stochastic runge-kutta methods containing",
      "second order stochastic runge-kutta scheme"
    ],
    "tags": [
      "journal article"
    ],
    "publication": {
      "journal": "Journal of Computational and Applied Mathematics",
      "year": 2008,
      "month": "Apr",
      "volume": 214,
      "number": 1,
      "pages": 259
    },
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2008JCoAM.214..259D"
    }
  }
}