Numerical solutions of stochastic differential equations -- implementation and stability issues (Q1841953)

The first part of this paper reviews known definitions of various types of stability associated with exact solutions of stochastic differential equations (SDEs) and with numerical solutions of SDEs. After briefly commenting on the implementation of numerical methods involving fixed stepsize, a variable stepsize stochastic Runge-Kutta method is presented and its implementation is discussed. The effectiveness of this method is demonstrated for a Stratonovich SDE example by comparing error and steps needed when variable stepsize is used and when fixed stepsize is used.