Y. Komori (2004), Multi-Colored Rooted Tree Analysis of the Weak Order
Conditions of a Stochastic Runge-Kutta Family under a Commutativity Condition,
Technical Report CSSE-22, Faculty of Computer Science & Systems Engineering,
Kyushu Institute of Technology.
Abstract
The present paper is aimed at multi-colored rooted tree analysis to give
a transparent expression of weak order conditions of a stochastic Runge-Kutta
family for stochastic differential equations satisfying a commutativity
condition. As a result, a new explicit stochastic Runge-Kutta scheme is
given, which is of weak order 2 and order 4 in the deterministic mean.
Note
The material in this report has been superseded by Y. Komori (2007).
The pdf file is obtainable from here.
Last updated: 2007/03/26