Abstract
To begin we briefly recall some background material on the numerical solution of deterministic ordinary differential equations (ODEs) to provide an introduction to the corresponding ideas for SDEs. We then discuss the stochastic Euler scheme and its implementation in some detail before turning to higher order numerical schemes for scalar Ito SDEs. We also indicate how MAPLE can be used to automatically determine the coefficients of these numerical schemes, in particular for vector SDEs.
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© 2002 Springer-Verlag Berlin Heidelberg
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Cyganowski, S., Kloeden, P., Ombach, J. (2002). Numerical Methods for SDEs. In: From Elementary Probability to Stochastic Differential Equations with MAPLE®. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-56144-3_10
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DOI: https://doi.org/10.1007/978-3-642-56144-3_10
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-42666-0
Online ISBN: 978-3-642-56144-3
eBook Packages: Springer Book Archive