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The numerical solution of stochastic differential equations

Published online by Cambridge University Press:  17 February 2009

P. E. Kloeden and
R. A. Pearson
P. E. Kloeden
Affiliation:
Department of Mathematics, Monash University, Clayton, Vic. 3168, Australia
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Abstract

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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.

Information

Type
Research Article
Information
The ANZIAM Journal , Volume 20 , Issue 1 , June 1977, pp. 8 - 12
Copyright
Copyright © Australian Mathematical Society 1977

References

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