Second order weak Runge-Kutta type methods for Itô equations (Q5944018)

The authors present a procedure for obtaining Runge-Kutta type methods for approximating the solution of an Itô stochastic differential equation. Simulation results showing the success of a Runge-Kutta method derived by this procedure when applied to the example \[ dX_t=(\frac 12 X_t+\sqrt{X^2_t+1})dt+\sqrt{X^2_t+1}dB_t,\quad X_0=0, \] are discussed.