scientific article; zbMATH DE number 844583
\(A\)-stabilityAitken-Neville type extrapolationEuler schemefourth order methodIto processIto stochastic differential equationMathematical Financemultiple stochastic integralsnumerical experimentsnumerical stabilitystochastic Taylor formulastrong approximationtest equations of Stratonovich typethird order methodvariable stepsize algorithmweak approximationsWiener incrementsWiener process
Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99) Numerical methods for initial value problems involving ordinary differential equations (65L05) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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