Geodesic
A note on the Runge-Kutta method for stochastic differential equations
Commentationes Mathematicae Universitatis Carolinae, Tome 33 (1992) no. 1, pp. 121-124 Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

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In the paper the convergence of a mixed Runge--Kutta method of the first and second orders to a strong solution of the Ito stochastic differential equation is studied under a monotonicity condition.
In the paper the convergence of a mixed Runge--Kutta method of the first and second orders to a strong solution of the Ito stochastic differential equation is studied under a monotonicity condition.
Classification : 60H10, 65L05
Keywords: stochastic differential equation; Runge--Kutta method; monotonicity and Lipschitz condition 
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Török, Csaba. A note on the Runge-Kutta method for stochastic differential equations. Commentationes Mathematicae Universitatis Carolinae, Tome 33 (1992) no. 1, pp. 121-124. http://geodesic.mathdoc.fr/item/CMUC_1992_33_1_a13/

[1] Rümelin W.: Numerical treatment of stochastic differential equations. SIAM J. Numer. Anal. 19 (1982), 604-613. | MR

[2] Aljushina L.A.: Lomanyje Eulera dlja uravnenij Ito s monotonnymi koefficientami. Teor. Veroyatnost. i Primenen. 33 (1987), 367-373.