Wong-Zakai Method Applications for Explicitly Solvable Stochastic Differential Equations

Abstract

In this study, three Ito stochastic differential equations with multiplicative noise are investigated with Wong-Zakai method. The stochastic differential equations are also analyzed by Euler-Maruyama, Milstein and Runge Kutta stochastic approximation methods. The relative errors of these three methods are compared and the performance of Wong-Zakai method is shown alongside numerical results.