An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations

DOI10.1137/S0036144500378302zbMath0979.65007OpenAlexW2145137020WikidataQ56502422 ScholiaQ56502422MaRDI QIDQ2753005

Desmond J. Higham

Publication date: 23 October 2001

Published in: SIAM Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0036144500378302

zbMATH Keywords

linear stabilitystochastic differential equationsMonte Carlo methodMATLABstochastic simulationstrong and weak convergenceEuler-Maruyama methodMilstein method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Software, source code, etc. for problems pertaining to probability theory (60-04)

Uses Software

• Matlab