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- W4316143821 abstract "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." @default.
- W4316143821 created "2023-01-14" @default.
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- W4316143821 date "2023-01-14" @default.
- W4316143821 modified "2023-09-27" @default.
- W4316143821 title "Weak convergence of balanced stochastic Runge–Kutta methods for stochastic differential equations" @default.
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- W4316143821 doi "https://doi.org/10.1080/27684830.2022.2163546" @default.
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