Numerical Integration of stochastic differential equations: The Heun Algorithm Revisited and It\^o-Stratonovich Calculus

Abstract

The widely used Heun algorithm for the numerical integration of stochastic differential equations (SDEs) is critically re-examined. We discuss and evaluate several alternative implementations, motivated by the fact that the standard Heun scheme is constructed from a low-order integrator. The convergence, stability, and equilibrium properties of these alternatives are assessed through extensive numerical simulations. Our results confirm that the standard Heun scheme remains a benchmark integration algorithm for SDEs due to its robust performance. As a byproduct of this analysis, we also disprove a previous claim in the literature regarding the strong convergence of the Heun scheme.