The Modified Heun Method for Stochastic Differential Equations

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  • Saito Yoshihiro
    Faculty of Economics and Information, Gifu Shotoku Gakuen University

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  • 確率微分方程式に対する修正ホイン法
  • カクリツ ビブン ホウテイシキ ニ タイスル シュウセイ ホインホウ

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Two modified versions of the stochastic Heun method which is an explicit method for stochastic differential equations(SDEs) are presented in this paper. We call them the modified Heun method. It is shown that the modified Heun method has order of strong convergence 1 for scalar SDEs with scalar noise. Its stability analysis is also studied and it is concluded that the modified Heun method is superior to the stochastic Heun method with respect to mean-square and asymptotic stability.

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