Abstract
We saw in the previous chapter that higher order weak Taylor schemes require the determination and evaluation of derivatives of various orders of the drift and diffusion coefficients. As with strong schemes, we can also derive Runge-Kutta like weak approximations which avoid the use of such derivatives. Here too, these will not be simply heuristic generalizations of deterministic Runge-Kutta schemes. We shall also introduce extrapolation methods, implicit schemes and predictor-corrector methods in this chapter.
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© 1992 Springer-Verlag Berlin Heidelberg
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Kloeden, P.E., Platen, E. (1992). Explicit and Implicit Weak Approximations. In: Numerical Solution of Stochastic Differential Equations. Applications of Mathematics, vol 23. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-12616-5_15
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DOI: https://doi.org/10.1007/978-3-662-12616-5_15
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