Numerical schemes for random ODEs with affine noise (Q285043)

Using stochastic Stratonovich-Taylor expansions, Taylor and linear multistep numerical schemes are obtained for approximating the solution of \(d\)-dimensional systems of random ordinary differential equations with \(m\)-dimensional affine noise that have the form \[ {dx\over dt}= f^0(t, x)+ \sum^m_{j=1} f^j(t,x)\zeta^j_t. \] Order of convergence is established. Accuracy and calculation time of seven schemes are compared for an example arising in genetics.