A fixed time step method is developed for integrating stochastic differential equations (SDE’s) with Poisson white noise (PWN) and Lévy white noise (LWN). The method for integrating SDE’s with PWN has the same structure as that proposed by Kim et al. [Phys. Rev. E 76, 011109 (2007)], but is established by using different arguments. The integration of SDE’s with LWN is based on a representation of Lévy processes by sums of scaled Brownian motions and compound Poisson processes. It is shown that the numerical solutions of SDE’s with PWN and LWN converge weakly to the exact solutions of these equations, so that they can be used to estimate not only marginal properties but also distributions of functionals of the exact solutions. Numerical examples are used to demonstrate the applications and the accuracy of the proposed integration algorithms.

• Received 3 April 2009

DOI:https://doi.org/10.1103/PhysRevE.80.026704