SOME EXPERIMENTS ON NUMERICAL SIMULATIONS OF STOCHASTIC DIFFERENTIAL-EQUATIONS AND A NEW ALGORITHM

In this paper we compare three second order methods for the numerical integration of Ito stochastic differential equations. One of these methods is new. We consider stability of implicit vs. explicit methods and compare the effects of step size, sample size, and type of increment used to approximate the Brownian motion. (C) 1994 Academic Press, Inc