The numerical solution of stochastic differential equations
- 1 June 1977
- journal article
- Published by Cambridge University Press (CUP) in The Journal of the Australian Mathematical Society. Series B. Applied Mathematics
- Vol. 20 (1) , 8-12
- https://doi.org/10.1017/s0334270000001405
Abstract
A method is proposed for the numerical solution of Itô 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.Keywords
This publication has 5 references indexed in Scilit:
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