Numerical Integration of Stochastic Differential Equations: The Heun Algorithm Revisited and the Itô-Stratonovich Calculus
The widely used Heun algorithm for the numerical integration of stochastic differential equations (SDEs) is critically re-examined. We discuss and evaluate several alternative implementations, motivated by the fact that the standard Heun scheme is constructed from a low-order integrator. The convergence, stability, and equilibrium properties of these alternatives are assessed through extensive numerical simulations. Our results confirm that the standard Heun scheme remains a benchmark integration algorithm for SDEs due to its robust performance. As a byproduct of this analysis, we also disprove a previous claim in the literature regarding the strong convergence of the Heun scheme.
Authors
- R. Mannella (ORCID: https://orcid.org/0000-0002-0049-2506)
Institutions
- University of Pisa (IT)
Publication Details
- Journal
- Entropy
- Published
- 2025-08-28
- DOI
- https://doi.org/10.3390/e27090910
- Primary Topic
- Stochastic processes and financial applications
- Type
- article
- Field-Weighted Citation Impact
- 0.00
Funders
- European Commission
- Università di Pisa