Numerical Methods in the Weak Sense for Stochastic Differential Equations with Small Noise

We propose a new approach to constructing weak numerical methods for finding solutions to stochastic systems with small noise. For these methods we prove an error estimate in terms of products hiεj(h is a time increment, ε is a small parameter). We derive various efficient weak schemes for systems w...

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Veröffentlicht in:	SIAM journal on numerical analysis 1997-12, Vol.34 (6), p.2142-2167
Hauptverfasser:	Milstein, G. N., M. V. Tret'Yakov
Format:	Artikel
Sprache:	eng
Schlagworte:	Approximation Coefficients Computer simulation Differential equations Differentials Error rates Estimation methods Human error Inequality Methods Noise Numerical analysis Numerical methods Random variables Runge Kutta method
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