Modify the Improved Euler scheme to integrate stochastic differential equations
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Publication:6236095
arXiv1210.0933MaRDI QIDQ6236095FDOQ6236095
Authors: A. J. Roberts 
Publication date: 2 October 2012
Abstract: A practical and new Runge--Kutta numerical scheme for stochastic differential equations is explored. Numerical examples demonstrate the strong convergence of the method. The first order strong convergence is then proved using Ito integrals for both Ito and Stratonovich interpretations. As a straightforward modification of the deterministic Improved Euler/Heun method, the method is a good entry level scheme for stochastic differential equations, especially in conjunction with Higham's introduction [SIAM Review, 43:525--546, 2001].
Has companion code repository: https://github.com/gerardpc/sde_simulator
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