NUMERICAL PERFORMANCE OF SOME WONG-ZAKAI TYPE APPROXIMATIONS FOR STOCHASTIC DIFFERENTIAL EQUATIONS

We propose to use a Wong-Zakai type approximation method for the numerical evaluation of the solution of stochastic differential equations. The main feature of the method is that it takes advantage of well-developed techniques for solutions of ordinary differential equations and that its application to multidimensional problems is straightforward. We give focus to the evaluation of the numerical performance of the method.