Y. Komori and T. Mitsui (1995), Stable ROW-type weak scheme for stochastic differential equations, RIMS Kokyuroku 932, 29-45.

Abstract
A stable weak scheme of ROW-type is proposed for stochastic differential equation so as to reserve its stability in the mean square sense and to be of order 2. Desirable restrictions of numerical scheme are investigated to derive a specified one. Through some numerical experiments for the scheme, the stability property and the convergence order are verified.

Note
The material in this report has been superseded by Y. Komori (1995).

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Last updated: 2009/11/24