Continuous weak approximation for stochastic differential equations

Kristian Debrabant, Andreas Rößler*

*Corresponding author for this work
7 Citations (Scopus)


A convergence theorem for the continuous weak approximation of the solution of stochastic differential equations (SDEs) by general one-step methods is proved, which is an extension of a theorem due to Milstein. As an application, uniform second order conditions for a class of continuous stochastic Runge-Kutta methods containing the continuous extension of the second order stochastic Runge-Kutta scheme due to Platen are derived. Further, some coefficients for optimal continuous schemes applicable to Itô SDEs with respect to a multi-dimensional Wiener process are presented.

Original languageEnglish
JournalJournal of Computational and Applied Mathematics
Issue number1
Pages (from-to)259-273
Number of pages15
Publication statusPublished - 15.04.2008


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