RandomFunction's Method setting includes "Kloeden–Platen–Schurz" as a possibility. Which is supposed to be order 3/2.

I cannot find a reference to that name of an algorithm anywhere. Is this The order 1.5 Strong Taylor Scheme as referenced in (a very good btw) book P. Kloeden E. Platen Numerical Solutions of Stochastic Differential Equations chapter 10.4?

If so, how are the higher stochastic integrals approximated? In this book there is a series expansion presented with an expansion parameter p which they choose by trial and error (?)

I'm unable to reproduce the results that Mathematica produces with a code I've wrote from scratch.

  • 1
    $\begingroup$ researchgate.net/publication/… All three authors on this one. Possible misspellings must be making it harder to find Shur(t)z and Klo(e)den $\endgroup$
    – flinty
    Commented Sep 23, 2021 at 18:10
  • $\begingroup$ @flinty Fixed multiple typos in the question. Sorry about that. $\endgroup$
    – Radost
    Commented Sep 23, 2021 at 22:00
  • $\begingroup$ @flinty Checked out this article and order 1.5 algorithm is not in it :< $\endgroup$
    – Radost
    Commented Sep 25, 2021 at 10:49


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