Adams-type methods for the numerical solution of stochastic ordinary differential equations
Numerical methods analogous to the Adams predictor-corrector methods for approximating the solution of ordinary differential equations are delineated for Stratonovich stochastic ordinary differential equations. The strong order of convergence of these methods is established. Tables listing error results for different stepsizes when numerically approximating the solutions of three examples are given to demonstrate the effectiveness of these methods.
Stratonovich stochastic ordinary differential equations
scientific article; zbMATH DE number 1533017