Numerical Integration of Stochastic Differential Equations
- 1 December 1979
- journal article
- website
- Published by Institute of Electrical and Electronics Engineers (IEEE) in Bell System Technical Journal
- Vol. 58 (10), 2289-2299
- https://doi.org/10.1002/j.1538-7305.1979.tb02967.x
Abstract
A procedure for numerical integration of a stochastic differential equation, by extension of the Runge-Kutta method, is presented. The technique produces results which are statistically correct to a given order in the time step. Second- and third-ord...Keywords
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