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Numerical Methods for Stochastic Differential Equations

Joshua Wilkie
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Abstract

Stochastic differential equations (sdes) play an important role in physics but existing numerical methods for solving such equations are of low accuracy and poor stability. A general strategy for developing accurate and efficient schemes for solving stochastic equations in outlined here. High order numerical methods are developed for integration of stochastic differential equations with strong solutions. We demonstrate the accuracy of the resulting integration schemes by computing the errors in approximate solutions for sdes which have known exact solutions.

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Joshua Wilkie. 2004-07-05. Numerical Methods for Stochastic Differential Equations. https://doi.org/10.1103/physreve.70.017701

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