The zip files below contain a number of integrators which we make freely available. We do not recommend that they be used for situations in which high accuracy solutions are required. The routine kpess1.f is essentially a derivative free version of the Milstein scheme, platen.f is a second order weak scheme, extrap.f is a fourth order weak scheme, while euler.f is a short code for the Euler-Maruyama method. The routine weak4.f is a variable-stepsize implementation of extrap.f.
Individual files:
euler.f
kpess1.f
platen.f
extrap.f
weak4.f
* Innovative Stochastic Algorithms *