A class of second-order Runge-Kutta methods for numerical solution of stochastic differential equations

1998 ◽  
Vol 16 (6) ◽  
pp. 977-991 ◽  
Author(s):  
M.I. Abukhaled ◽  
E.J. Allen
Keyword(s):  
Differential Equations ◽  
Numerical Solution ◽  
Stochastic Differential Equations ◽  
Second Order ◽  
Runge Kutta

scholarly journals The numerical solution of stochastic differential equations

1977 ◽  
Vol 20 (1) ◽  
pp. 8-12 ◽  
Author(s):  
P. E. Kloeden ◽  
R. A. Pearson
Keyword(s):  
Differential Equation ◽  
Differential Equations ◽  
Stochastic Differential Equation ◽  
Numerical Solution ◽  
Stochastic Differential Equations ◽  
Iterative Scheme ◽  
Correction Term ◽  
Second Order ◽  
Runge Kutta ◽  
The Given

AbstractA 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.

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