DIGITAL SIMULATION OF STOCHASTIC DIFFERENTIAL EQUATIONS USING RUNGE KUTTA'S METHODS OF NUMERICAL INTEGRATION.

Prior to this time, much attention has been paid to analytic solution of Stochastic differential equations (s. d. e) but digital simulation of the same has not received similar attention. The numerical integration technique used in these expositions have been Euler's methods of numerical integration and the 4th order Runge Kutta's method of numerical integration. In this paper, we shall survey the Runge Kutta's methods as the application in the Runge Kutta's methods of numerical integration is used in the digital simulation procedure of the solution of stochastic differential equations. We shall also review some relevant theoretical backgrounds.