Mackevičius, Vigirdas; Navikas, Jurgis - In: Mathematics and Computers in Simulation (MATCOM) 57 (2001) 1, pp. 29-34
A ‘standard’ second order weak Runge–Kutta method for a stochastic differential equation can be applied only in the case where the equation is understood in the Stratonovich sense. To adapt Runge–Kutta type methods for Itô equations, we propose to use a rather simple additional...