An algorithmic introduction to numerical simulation of stochastic differential equations (Q2753005)
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scientific article; zbMATH DE number 1666048
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | An algorithmic introduction to numerical simulation of stochastic differential equations |
scientific article; zbMATH DE number 1666048 |
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23 October 2001
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Euler-Maruyama method
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MATLAB
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Milstein method
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Monte Carlo method
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stochastic simulation
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strong and weak convergence
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stochastic differential equations
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linear stability
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An algorithmic introduction to numerical simulation of stochastic differential equations (English)
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0.8197647333145142
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0.8001721501350403
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