Numerical methods for simulation of stochastic differential equations

DOI10.1186/s13662-018-1466-5zbMath1445.60050OpenAlexW2784042114MaRDI QIDQ1711244

Gulsen Orucova Buyukoz, Mustafa Bayram, Tugcem Partal

Publication date: 17 January 2019

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-018-1466-5

zbMATH Keywords

stochastic differential equationsMonte Carlo methodsEuler-Maruyama methodMilstein method

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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