A new higher-order weak approximation scheme for stochastic differential equations and the Runge–Kutta method

Mariko Ninomiya () and Syoiti Ninomiya ()

Finance and Stochastics, 2009, vol. 13, issue 3, 415-443

Keywords: Free Lie algebra; Mathematical finance; Runge–Kutta method; Stochastic differential equations; Weak approximation; 65C30; 65C05; 65L06; 17B01; 91B02; C63; G12 (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s00780-009-0101-4

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