Comment on "numerical methods for stochastic differential equations"
- American Physical Society
- Publication Type:
- Journal article
- Burrage Kevin et al. 2006, 'Comment on "numerical methods for stochastic differential equations"', American Physical Society, vol. 74, no. 6, pp. 068701-1-068701-2.
- Issue Date:
Wilkie (Phys. Rev. E 70, 017701 (2004)) used a heuristic approach to derive Runge-Kutta-based numerical methods for stochastic differential equations based on methods used for solving ordinary differential equations. The aim ws to follow solution paths with high order. We point out that this approach is invalid in the general case and does not lead to high order methods. We warn readers against the inappropriate use of deterministic calculus in a stochastic setting.
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