An explicit order 2 scheme for the strong approximation of Stratonovich stochastic differential equations with scalar noise

Abstract

AbstractA new class of stochastic Runge–Kutta (SRK) methods for the strong approximation of Stratonovich stochastic ordinary differential equations (SODEs) is presented. The proposed method is an alternative to the method of Xiao and Tang (Numer. Algor. 72: 259–296, 2016) and converges with order 2 in the strong sense. To validate the efficiency and to compare with some known methods, numerical simulations which involve generating Stratonovich stochastic integrals of level 3, are finally given.