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A new higher-order weak approximation scheme for stochastic differential equations and the Runge–Kutta method

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References

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2018Approximation of Expectation of Diffusion Process and Mathematical Finance90 cited
1993Asymptotic expansion of stochastic flows75 cited

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2013Exact and high-order discretization schemes for Wishart processes and their affine extensions47 cited
2013Fast Ninomiya–Victoir calibration of the double-mean-reverting model42 cited
2010Efficient and Practical Implementations of Cubature on Wiener Space38 cited

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