Abstract
Several numerical methods for treating stochastic differential equations are considered. Both the convergence in the mean square limit and the convergence of the moments is discussed and the generation of appropriate random numbers is treated. The necessity of simulations at various time steps with an extrapolation to time step zero is emphasized and demonstrated by a simple example.
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Greiner, A., Strittmatter, W. & Honerkamp, J. Numerical integration of stochastic differential equations. J Stat Phys 51, 95–108 (1988). https://doi.org/10.1007/BF01015322
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DOI: https://doi.org/10.1007/BF01015322