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The numerical solution of stochastic differential equations
Open accessAbstract
A 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.
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Citations
Cited by
An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
Higham, D. J. (2001) · SIAM Review · doi:10.1137/s0036144500378302 · Cited by 3,154
The econometrics of financial markets
Pagan, A. (1996) · Journal of Empirical Finance · doi:10.1016/0927-5398(95)00020-8 · Cited by 873
Structural dynamics of dendritic spines in memory and cognition
Kasai, H., Fukuda, M., Watanabe, S., Hayashi-Takagi, A., & Noguchi, J. (2010) · Trends in Neurosciences · doi:10.1016/j.tins.2010.01.001 · Cited by 804
Friston, K. J., Kahan, J., Biswal, B., & Razi, A. (2014) · NeuroImage · doi:10.1016/j.neuroimage.2013.12.009 · Cited by 553
On Unscented Kalman Filtering for State Estimation of Continuous-Time Nonlinear Systems
Sarkka, S. (2007) · IEEE Transactions on Automatic Control · doi:10.1109/tac.2007.904453 · Cited by 553
Metadata
- Authors
- Kloeden, P. E., & Pearson, R. A.
- Venue
- The Journal of the Australian Mathematical Society. Series B. Applied Mathematics
- Publisher
- Cambridge University Press (CUP)
- Published
- 1977-06
- Volume
- 20
- Issue
- 1
- Pages
- 8-12
- ISSN
- 0334-2700 (ISSN-L)
- 1839-4078
- OpenAlex
- W2072118886
- Cited by
- 264
- References
- 0
- FWCI
- 0.00
- Type
- journal article
- Language
- en
- Open access
- bronze
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- CoChat. (2026). Citation check: The numerical solution of stochastic differential equations. https://app.cochat.ai/papers/10.1017/s0334270000001405
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- Kloeden, P. E., & Pearson, R. A. (1977). The numerical solution of stochastic differential equations. The Journal of the Australian Mathematical Society. Series B. Applied Mathematics. https://doi.org/10.1017/s0334270000001405
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
