Browsing by Publisher "Advances in Difference Equations"
Now showing items 1-1 of 1
-
Numerical methods for simulation of stochastic differential equations
(Advances in Difference Equations, 2018-01-15)In this paper we are concerned with numerical methods to solve stochastic differential equations (SDEs), namely the Euler-Maruyama (EM) and Milstein methods. These methods are based on the truncated Ito-Taylor expansion. ...