Author:
Kloeden P. E.,Pearson R. A.
Abstract
AbstractA method is proposed for the numerical solution of Itô stochastic differential equations by means of a second-order Runge–Kutta iterative scheme rather than the less efficient Euler iterative scheme. It requires the Runge–Kutta iterative scheme to be applied to a different stochastic differential equation obtained by subtraction of a correction term from the given one.
Publisher
Cambridge University Press (CUP)
Cited by
53 articles.
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