Numerical Integration of Stochastic Differential Equations—II


Journal Article

In a previous paper, a method was presented to integrate numerically nonlinear stochastic differential equations (SDES) with additive, Gaussian, white noise. The method, a generalization of the Runge‐Kutta algorithm, extrapolates from one point to the next applying functional evaluations at stochastically determined points. This paper extends (and at one point corrects) algorithms for the simple class of equations considered in the previous paper. In addition, the method is expanded to treat vector SDES, equations with time‐dependent functions, and SDES higher than first order. The parameters for several explicit integration schemes are displayed. © 1981 The Bell System Technical Journal

Full Text

Duke Authors

Cited Authors

  • Greenside, HS; Helfand, E

Published Date

  • January 1, 1981

Published In

Volume / Issue

  • 60 / 8

Start / End Page

  • 1927 - 1940

Electronic International Standard Serial Number (EISSN)

  • 1538-7305

International Standard Serial Number (ISSN)

  • 0005-8580

Digital Object Identifier (DOI)

  • 10.1002/j.1538-7305.1981.tb00303.x

Citation Source

  • Scopus