TY - JOUR
T1 - Weak convergence of balanced stochastic Runge-Kutta methods for stochastic differential equations
AU - Rathinasamy, Anandaraman
AU - Debrabant, Kristian
AU - Nair, Priya
PY - 2023
Y1 - 2023
N2 - In this paper, weak convergence of balanced stochastic one-step methods and especially balanced stochastic Runge–Kutta (SRK) methods for Itô multidimensional stochastic differential equations is analyzed. Generalizing a corresponding result obtained by H. Schurz for the standard Euler method, it is shown that under certain conditions, balanced one-step methods preserve the weak convergence properties of their underlying methods. As an application, this allows to prove the weak convergence order of the balanced SRK methods presented in earlier work by A. Rathinasamy, P. Nair and D. Ahmadian.
AB - In this paper, weak convergence of balanced stochastic one-step methods and especially balanced stochastic Runge–Kutta (SRK) methods for Itô multidimensional stochastic differential equations is analyzed. Generalizing a corresponding result obtained by H. Schurz for the standard Euler method, it is shown that under certain conditions, balanced one-step methods preserve the weak convergence properties of their underlying methods. As an application, this allows to prove the weak convergence order of the balanced SRK methods presented in earlier work by A. Rathinasamy, P. Nair and D. Ahmadian.
U2 - 10.1080/27684830.2022.2163546
DO - 10.1080/27684830.2022.2163546
M3 - Journal article
SN - 2768-4830
VL - 10
JO - Research in Mathematics
JF - Research in Mathematics
IS - 1
M1 - 2163546
ER -