Stochastic Differential Equations: Numerical Methods

Abstract

The presentation in the previous chapter indicates that effective analytical solutions of stochastic differential equations are achievable only in some simpler cases. There exists, therefore, an obvious interest to extend a treatment of stochastic differential equations to what might be called direct numerical integration. Although for a long time systematic work on numerical methods for stochastic equations has not kept pace with the analytical studies, at present we observe a burst of activity in “stochastic numerics” what is primarily due to progress in stochastic modelling of complex dynamical systems and, of course, due to the common use of computers.