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The numerical solution of stochastic differential equations
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