An algorithmic introduction to numerical simulation of stochastic differential equations

SIAM Review

Volumn 43, Issue 3, 2001, Pages 525-546

  Higham, D J ^a  

^a UNIVERSITY OF STRATHCLYDE   (United Kingdom)

Author keywords

Euler Maruyama method; MATLAB; Milstein method; Monte Carlo; Stochastic simulation; Strong and weak convergence

Indexed keywords

ALGORITHMS; COMPUTER SOFTWARE; CONVERGENCE OF NUMERICAL METHODS; INTEGRATION; LINEAR SYSTEMS; PROBABILITY; RANDOM PROCESSES;

STOCHASTIC DIFFERENTIAL EQUATIONS;

DIFFERENTIAL EQUATIONS;

EID: 0035439412     PISSN: 00361445     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0036144500378302     Document Type: Article

References (14)

1. Mean-square and asymptotic stability of the stochastic theta method
2. MATLAB guide
3. Some issues in discrete approximate solution for stochastic differential equations
4. An introduction to numerical methods for stochastic differential equations
5. Stability analysis of numerical schemes for stochastic differential equations
6. Spectral methods in MATLAB