Abstract
In the multidimensional case, second-order weak Runge-Kutta methods for stochastic differential equation (SDE) need simulation of correlated random variables, unless the diffusion matrix of SDE satisfies the commutativity condition. In this paper, we show that this can be avoided for some types of diffusion matrices and test functions important for applications.
Published Version
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have