Burrage Kevin, Burrage Pamela, Higham Desmond J, Kloeden Peter E, Platen Eckhard
Advanced Computational Modelling Centre, University of Queensland, Brisbane QLD 4072, Australia.
Phys Rev E Stat Nonlin Soft Matter Phys. 2006 Dec;74(6 Pt 2):068701. doi: 10.1103/PhysRevE.74.068701. Epub 2006 Dec 22.
Wilkie [Phys. Rev. E 70, 017701 (2004)] used a heuristic approach to derive Runge-Kutta-based numerical methods for stochastic differential equations based on methods used for solving ordinary differential equations. The aim was to follow solution paths with high order. We point out that this approach is invalid in the general case and does not lead to high order methods. We warn readers against the inappropriate use of deterministic calculus in a stochastic setting.
威尔基[《物理评论E》70, 017701 (2004)]基于求解常微分方程的方法，采用启发式方法推导了基于龙格 - 库塔的随机微分方程数值方法。目的是高阶地追踪解路径。我们指出，这种方法在一般情况下是无效的，并且不会产生高阶方法。我们提醒读者避免在随机环境中不适当地使用确定性微积分。
