论文信息 - Numerical Solution of Stochastic Differential Equations

Numerical Solution of Stochastic Differential Equations

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.

P. Kloeden | E. Platen

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