A Weak Simpson Method for a Class of Stochastic Differential Equations
Keywords:Stochastic differential equation, higher order method, numerical method, Simpson rule, Euler-Maruyama method, weak convergence
This paper proposes a novel weak Simpson method for numerical solution for a class of stochastic
differential equations. We show that such a method has weak convergence of order one in general and
weak convergence of order three under certain additional assumptions, which improves the weak
convergence order of two for the weak trapezoid method developed in (1). The main results are illustrated
with numerical examples.
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