The numerical solution of stochastic differential equations

P. E. Kloeden, R. A. Pearson
1977 The Journal of the Australian Mathematical Society Series B Applied Mathematics  
A method is proposed for the numerical solution of Ito stochastic differential equations by means of a second-order Runge-Kutta iterative scheme rather than the less efficient Euler iterative scheme. It requires the Runge-Kutta iterative scheme to be applied to a different stochastic differential equation obtained by subtraction of a correction term from the given one. terms of use, available at https://www.cambridge.org/core/terms. https://doi.
doi:10.1017/s0334270000001405 fatcat:3ptgcokzszcwfhtsx5lqrvoxvu