Abstract:

We discussed some numerical schemes for stochastic differential equations, and applied predictorcorrector method to solving implicit scheme for nonlinear stochastic differential equations. We also carried out the numerical experiments and analyzed and compared the average global error of each numerical method. The numerical experiments illustrate that the calculating accuracies by means of explicit scheme and halfimplicit scheme are higher than that of implicit scheme.

Key words: stochastic differential equation； Euler scheme； Milstein scheme