Simulation of Non-linear Stochastic Differential Equations
This paper describes a numerical technique to solve non-linear stochastic differential equations of Ito and Stratonovich type. We consider Euler, fourth-order Runge-Kutta (R-K) Schemes,and other schemes with intermediate accuracy. For the purpose of investigating the Convergence of numerical solutions and to apply variable integration step length techniques the special Wiener process generator was
