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Updated: Jan 16, 2026

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Numerical Integration of Stochastic Differential Equations: The Heun Algorithm Revisited and the Itô-Stratonovich

Riccardo Mannella1

  • 1Dipartimento di Fisica, Università di Pisa, 56126 Pisa, Italy.

Entropy (Basel, Switzerland)
|September 27, 2025
PubMed
Abstract

Keywords:
Heun’s methodItô Stratonovich calculusnumerical integrationstochastic differential equations (SDEs)stochastic processesstrong convergence

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