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.

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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

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article

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

R. Mannella
Entropy
Stochastic processes and financial applications
article

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

R. Mannella
article en

Abstract

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.

EntropyVol. 27(9)
University of Pisa (IT)
European Commission, Università di Pisa
Openalex Percentile: Top 71%
Stochastic processes and financial applications
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