An extrapolated Euler method of second-order accuracy for stochastic differential equations

Date

1992-05

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Abstract

An extrapolated Euler method is developed for numerical solutions of stochastic differential equations. It is proven that expectations of functions of the stochastic process and expectations of solutions of systems of stochastic differential equations are approximated to second-order accuracy using the extrapolated Euler method. Numerical results support the theoretical analysis. In addition, a new variance reduction procedure is easily implemented with Euler's method and is described and tested.

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Keywords

Stochastic differential equations -- Numerical solutions

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